单选题
A bond has a modified duration of 6 and a convexity of 62.5. What happens to the bond's price if interest rates rise 25 basis points? It goes:
A、
A. down 1.46%.
B、
B. up 4.00%.
C、
C. up 1.46%.
【正确答案】
A
【答案解析】
AP/P=(-)(MD)(△i+(C)(△i)
2
=-6×0.0025+62.5×0.0025
2
=-0.015+0.00039=-0.01461.
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