NO.PZ2023090201000099
问题如下：
A bond’s duration is 7.31 and its convexity is –24.85. What's the convexity adjustment if the interest rate decreases 2%?
选项：
A.14.12%. B.14.62%. C.–0.50%解释：
C is correct.
The convexity adjustment is ½ × AnnConvexity × (∆Yield)2 , or ½ × (–24.85) × (0.02)2 = –0.50%
考点：Bond Convexity and Convexity Adjustment
解析：利率下降2%，即△Yield = -0.02
代入convexity adjustment = 0.5 × (–24.85) × (–0.02)2 = –0.00497 = –0.497% ≈ –0.50%
如题
，把这一项求出来即可。