为什么ΔYield 不是0.002呢？

问题如下：

A bond is currently trading for 98.722 per 100 of par value. If the bond’s yield-to-maturity (YTM) rises by 10 basis points, the bond’s full price is expected to fall to 98.669. If the bond’s YTM decreases by 10 basis points, the bond’s full price is expected to increase to 98.782. The bond’s approximate convexity is closest to:

选项：

A.

0.071.

B.

70.906.

C.

1,144.628.

解释：

B is correct.

The bond’s approximate convexity is closest to 70.906. Approximate convexity

(ApproxCon) is calculated using the following formula:

$ApproxCon=\lbrack PV_-+PV_+-(2\times PV_0)\rbrack/(\Delta Yield^{2\;}\times\;PV_0)$

ApproxCon

$\text{ }=\text{ }\lbrack98.782\text{ }+\text{ }98.669-(2\times98.722)\rbrack/(0.001^2\times98.722)$

$\text{ }=\text{ }70.906$

考点：convexity

解析：题干中98.669是利率上升10bps的债券价格PV+，98.782是利率下降10bps的债券价格PV-，代入上述公式即可得convexity为70.906，故选项B正确。