单选题
For an option-flee bond, if yields increase by 200 basis points, the parts of the total estimated percentage price change attributable to duration and the convexity adjustment, respectively, will most likely be: Part of the total estimated percentage price change attributable to duration Part of the total estimated percentage price change attributable to the convexity adjustment ①A. Negative Positive ②B. Negative Negative ③C. Positive Positive
【正确答案】
A
【答案解析】The total estimated price change for the bond is composed of the estimation based on the convexity. An option-free bond will exhibit positive convexity ( gains will be greater than losses given a change in yields) making the reduction price less than that implied by duration alone.