Aimee · 2025年07月01日
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%
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NO.PZ2023090201000099 问题如下 A bons ration is 7.31 anits convexity is –24.85. What's the convexity austment if the interest rate creases 2%? A.14.12%. B.14.62%. C.–0.50% C is correct. The convexity austment is ½ × AnnConvexity × (∆Yiel2 , or ½ × (–24.85) × (0.02)2 = –0.50%考点BonConvexity anConvexity Austment解析利率下降2%，即△Yiel= -0.02代入convexity austment = 0.5 × (–24.85) × (–0.02)2 = –0.00497 = –0.497% ≈ –0.50% 如题
NO.PZ2023090201000099 问题如下 A bons ration is 7.31 anits convexity is –24.85. What's the convexity austment if the interest rate creases 2%? A.14.12%. B.14.62%. C.–0.50% C is correct. The convexity austment is ½ × AnnConvexity × (∆Yiel2 , or ½ × (–24.85) × (0.02)2 = –0.50%考点BonConvexity anConvexity Austment解析利率下降2%，即△Yiel= -0.02代入convexity austment = 0.5 × (–24.85) × (–0.02)2 = –0.00497 = –0.497% ≈ –0.50% 老师好，请问什么样的bonconvex是负数？
