单选题 If a bond has a convexity of 60 and a modified duration of 10, the convexity adjustment associated with a 25 basis point interest rate decline would be:

A、

A. +0.0375%.
B、

B. -2.125%.
C、

C. -0.0375%.

【正确答案】 A

【答案解析】
Convexity adjustment to % △P: convexity measure ×(△i)²×100=60×(-0.0025)²×100=0.0375%.