For Large Interest Rate Shocks and Large Convexity of a Fixed-Income

Multiple Choice

For large interest rate shocks and large convexity of a fixed-income security or portfolio:

A) the error will not change compared to smaller interest rate shocks and lower convexity
B) the error will be smaller compared to smaller interest rate shocks and lower convexity
C) the error will be greater compared to smaller interest rate shocks and lower convexity
D) there will be no error as duration measures changes accurately