单选题
A bond is currently trading for $109.246 per $100 of par value. If the bond's yield to maturity falls by 25 bps, the bond's full price is expected to rise to $110.481. If the bond's yield to maturity rises by 25 bps, the bond's full price is expected to fall to $108.029. The bond's approximate convexity is closest to:
【正确答案】
C
【答案解析】
The bond's approximate convexity can be calculated as:
where PV., PV0, and PV+ are the values of the bond when the yield falls, under the current yield, and when the yield rises, respectively, and ∆Yield is the size of the yield change. So,
