单选题 An international bond investor has gathered the following information on a 10 - year, annualpay U. S. corporate bond:
Currently trading at par value
Annual coupon of 10%
Estimated price if rates increase 50 basis points is 96.99%
Estimated price is rates decrease 50 basis points is 103.14%
The bond's duration is closest to:
  • A. 6.58.
  • B. 0.62.
  • C. 6.15.
【正确答案】 C
【答案解析】Duration = (V--V+)/[2V0 (change in required yield)].
Thus, duration = (103.14-96.99)/(2×100×0.005)=6.15. Remember that the change in interest rates must be in decimal form.