Question: A corporate bond has a modified duration D * = 8 years. One month after buying the bond, the yield to maturity rises + 200bps.

A corporate bond has a modified duration D* = 8 years. One month after buying the bond, the yield to maturity rises + 200bps. Please mark the only CORRECT anwer

a. The price of the bond will fall 1.60%
b. The price of the bond will fall, but we have to adjust the formula for convexity because the change in YTM is large
c. The price of the Bond will rise 16.0%
d. The price of the Bond will fall 16.0%

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