单选题

Consider a 25-year, $1000 par semiannual-pay bond with a 7.5% coupon and a 9.25% YTM. Based on a yield change of 50 basis points, the effective duration of the bond is closest to（）。

A、 8.73.
B、 10.03
C、 11.45.

【正确答案】 B

【答案解析】

Calculate the new bond prices at the 50 basis point change in rates both up or down and then plug into the effective duration equation:
Current Price: N=50; FV=1000; PMT=(0.075/2)× 1000=37.50; I/Y=4.625; CPT→ PV=$830.54
+50 Basis Pts: N=50; FV=1000; PMT=(0.075/2)×1000=37.50; I/Y=4.875; CPT→ PV=$790.59
-50 Basis Pts: N=50; FV=1000; PMT=(0.075/2)×1000=37.50; I/Y=4.375; CPT→ PV=$873.93.