level1 Fixed Income notes练习问题
notes里面Understanding fixed income risk and return 练习（104页）第13题
Assume a bond has an effective duration of 10.5 and a convexity of 97.3. Using both of these measures, the estimated percentage change in price for this bond, in response to a decline in yield of 200 BP, is close to ?
A. 19.052%
B. 22.95%
C. 24.89%
根据公式Convexity effect应该是1/2*Convexity*(change in YTM)^2 应该选B
为什么答案是C，解释是Convexity effect＝Convexity*(change in YTM)*2
不明白阿～～～～～～ |
发表于 2014-4-19 03:12
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