这个225.50代表什么意思

问题如下：

A bond is priced at 88.692 per 100 of par value. The bond's full price will fall to 88.642 if the yield-to-maturity rises by 10 basis points. Moreover, the bond's full price will increase to 88.762 if the yield-to-maturity decreases by 10 basis points. The approximate convexity of the bond is:

选项：

A.

105.24.

B.

225.50.

C.

687.41.

解释：

B is correct.

Approximate convexity

$=\left[V_-+V_+-2V_0\right]/V_0\times\left(\triangle y\right)^2$

=[88.762+88.642-(2×88.692)]/[(0.001)² × 88.692]

=225.499

考点：convexity

解析：题干中88.642是利率上升10bps的债券价格PV+，88.762是利率下降10bps的债券价格PV-，代入上述公式即可得convexity为225.499，故选项B正确。