NO.PZ2023091701000036
问题如下：
A risk manager is evaluating the price sensitivity of an investment-grade callable bond using the firm’s valuation system. The table below presents information on the bond as well as on the embedded option. The current interest rate environment is flat at 5%.
The convexity of the callable bond can be estimated as:
选项：
A.-55,698
B.-54,814
C.-5.5698
D.
-5.4814
解释：
Convexity is defined as the second derivative of the price-rate function divided by the price of the bond. To estimate convexity, one must first estimate the difference in bond price per difference in the rate for two separate rate environments, one a step higher than the current rate and one a step lower. One must then estimate the change across these two values per difference in rate. This is given by the formula:
WhereΔr is the change in the rate in one step; in this case, 0.02%.
Therefore, the best estimate of convexity is:
如果考试中遇到这道题，并使用现在设置的6位小数的计算器，就是导致计算出错啊
