Reading 69: Introduction to the Measurement of Interest R

答案和详解如下：

11.For a given bond, the duration is 8 and the convexity is 50. For a 60 basis point decrease in yield, what is the approximate percentage price change of the bond?

A)   2.52%.

B)   4.98%.

C)   4.62%.

D)   25.20%.

The correct answer was B)

The estimated price change is –(duration)(∆y)+(convexity)*(∆y)² = -8*(-0.006)+50*(-0.006²)= +0.0498 or 4.98%.

12.If a bond has a convexity of 120 and a modified duration of 10, what is the convexity adjustment associated with a 25 basis point interest rate decline?

A)   -2.875%.

B)   -2.125%.

C)   -0.0375%.

D)   +0.075%.

The correct answer was D)

Convexity adjustment: +(C) (Δi)²

Con adj = + (120)(-0.0025)(-0.0025) = +0.000750 or 0.075%