请问这题怎么算， bond price change with effective duration and effective convexity price, effective, change

drexelyu0

Steve Jacobs, CFA, is analyzing the price volatility of Bond Q. Q’s effective duration is 7.3, and its effective convexity is 91.2. What is the estimated price change for Bond Q if interest rates fall/rise by 125 basis points?

Fall

Rise

A)	+9.84% −8.41%
B)	+10.20% −8.06%
C)	+10.55% −7.70%

我根据公式算出来的是C, 但schweser 的答案是 A

Estimated return impact if rates fall by 125 basis points:

≈ −(Duration × ΔSpread) + ½ Convexity × (ΔSpread)2
≈ −(7.3 × −0.0125) + ½(91.2)(0.0125)2
≈ +0.09125 + 0.007125
≈ +0.0983750
≈ +9.84%

Estimated return impact if rates rise by 125 basis points:

≈ −(Duration × ΔSpread) + ½ Convexity × (ΔSpread)2
≈ −(7.3 × +0.0125) + ½(91.2)(0.0125)2
≈ −0.09125 + 0.007125
≈ −0.084125
≈ −8.41%

公式里convexity 前面不需要乘1/2的， 为什么这里要乘1/2，求解惑。

yangjiang27

2013的notes里面没有乘以1/2，但2014的notes里面改了，有乘1/2，所以还是以2014年的notes为准，没记错教材上也有乘。13和14的notes在fixed income这部分改动非常大，所以还是要看最新的才行啊