这题怎么按计算机？

问题如下：

For a bond with a modified duration of 4 and a convexity of 0.25, which of the following changes in credit spread would result in a price decrease closest to 7.5%?

选项：

A.

1% decrease

B.

1% increase

C.

2% increase

解释：

%∆PVFull = −(AnnModDur × ∆Spread) + 0.5×AnnConvexity × (∆Spread)^2

− (4 × 0.02) + 0.5 × 25 × (0.02)^2 = –0.075 or –7.5%

The spread change is inversely related to the price effect, with a spread increase leading to a fall in bond price. Note that since duration was 4, we had to rescale the convexity from 0.25 to 25.