NO.PZ2016031002000067
问题如下：
Ann wants to measure the relationship between bond price and yield for an option-free based on the duration. When the yield decreases, the estimation of price increment will be:
选项：
A.smaller.
B.larger.
C.either smaller or larger.
解释：
A is correct.
The relationship between bond price and yield for an option-free bond is convex while duration is a linear measurement. So the estimation of price increase just based on duration will be smaller than the actual price increase if the yield decreases.
考点：duration & convexity
解析：如果单考虑duration的影响，忽略了convexity的影响，那只是线性的影响。当利率下降时，债券价格的上涨幅度就没有那么多。故选项A正确。
如果把duration和convexity都考虑在内，存在涨多跌少，那么债券上涨的幅度相比只考虑duration更多。
所以我按照涨多跌少的做法，选择了b，为什么是smaller，其他题给的答案也不太理解，这里没有问只考虑duration的情况。
