单选题

The duration and convexity of an option-free bond priced at $90.25 are 10.34 and 151.60,respectively. If yields increase by 200 bps, the percentage change of the price is closest to:

A、 -17.65%.
B、 -20.68%.
C、 -23.71%.

【正确答案】 A

【答案解析】

The percentage change in price is calculated as follows: Duration effect :
- 10,34 × (0.02) = - 20,68%
and convexity effect: =