单选题
An option-free bond has a market price and par value equal to $1000. For small changes in the yield of this bond, its price will change one dollar for every basis point change in the yield. What is the duration of the bond?
【正确答案】
B
【答案解析】A dollar change in price for this bond is a 0.01 percent change in its quoted price.
Duration=(100.1-99.9)/(2×100×0.0001)=10.