NO.PZ2023120801000089
问题如下：
For a long-term, zero-coupon bond, which of the following factors contributes to heightened difference between the bond’s yield convexity and curve convexity?
选项：
A.A flat yield curve
A price at or near par
A long time to maturity
解释：
Correct Answer: C
The difference between a zero-coupon bond’s yield convexity and curve convexity is heightened when the yield curve is not flat, the bond is priced at a significant discount or premium, and the bond has a long time to maturity.
A is incorrect because the difference between the bond’s yield convexity and curve convexity is heightened when the yield curve is not flat.
B is incorrect because the difference between the bond’s yield convexity and curve convexity is heightened when the bond is priced at a significant discount or premium (not when it is priced at or near par).
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