NO.PZ2016031001000128
问题如下：
A bond has an annual modified duration of 7.140 and annual convexity of 66.200. The bond’s yield-to-maturity is expected to increase by 50 basis points. The expected percentage price change is closest to:
选项：
A.–3.40%.
B.–3.49%.
C.–3.57%.
解释：
B is correct.
The expected percentage price change is closest to −3.49%. The convexity adjusted percentage price change for a bond given a change in the yield-to-maturity is estimated by:
%ΔPVFull≈[−AnnModDur×ΔYield]+0.5×AnnConverxity×(ΔYield)^2
%ΔPVFull≈[−7.14×0.005]+0.5×66.2×(0.005)^2
= -0.034873 or -3.49%
考点：duration & convexity
解析：这道题考察的是综合考虑duration和convexity对债券价格的影响。题干中利率上升50bps，即△yield = 0.5% = 0.005，duration=7.14，Convexity=66.2。
△P/P= -duration × △y+0.5 × convexity × (△y)2
= -7.14 × 0.5%+0.5 × 66.2 × (0.5%)2
= -3.49%
故选项B正确。
按照解析的公式算出来是-0.04705吧？
