单选题
For an option-free bond, what are the effects of the convexity adjustment on the magnitude (absolute value) of the approximate bond price change in response to an increase in yield and in response to a decrease in yield, respectively? Decrease in yield Increase in yield A. Increase in magnitude Decrease in magnitude B. Increase in magnitude Increase in magnitude C. Decrease in magnitude Decrease in magnitude
【正确答案】
A
【答案解析】Option-free bonds have positive convexity and the effect of (positive) convexity is to increase the magnitude of the price increase when yields fall and to decrease the magnitude of the price decrease when yields rise.