问一道题：NO.PZ2018062010000004 [ CFA I ]

B.

-1.57%

C.

-1.60%

解释：

C is correct.

The bond’s convexity statistic is used to improve the estimate of the percentage price change provided by modified duration alone. According to the following formula, we can get the answer:

$\%\triangle\mathrm{PV}^{\mathrm{Full}}\approx(-\mathrm{AnnModDur}\times\triangle\mathrm{Yield})+\lbrack\frac12\times\mathrm{AnnConvexity}\times(\triangle\mathrm{Yield})^2\rbrack$

$\%\triangle\mathrm{PV}^{\mathrm{Full}}\approx(-8.05\times0.0020)+\lbrack\frac12\times58.32\times(0.0020)^2\rbrack=-1.60\%$

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