NO.PZ202305230100005404
问题如下：
For the percentage price change for Bond A, given a 200 bp increase in benchmark yield, what part of the price change is of the most concern?
选项：
A.
Duration
B.
Convexity
C.
Not able to determine with given information
解释：
A is correct. Typically, the effect of duration is much larger than the effect of convexity.
%∆PVFull Bond A, Duration ≈ –7.48621 × 0.0200 = –14.97242%
%∆PVFull Bond A, Convexity Adjustment ≈ 0.5 × 29.35972 × (–0.0200)^2 = –0.58719%
计算数据哪来的呢？题干没有呀
