請教一個關於duration的問題 - 金融分析師

這題是在課本 Equity and fixed income P.516 第24題

有問題的是 statement 2

"Incorporating convexity into the analysis of non-callable bond's

price changes as interest rates change always results in higher

bond price estimates than derived by using only the bond's

duration. This is true whether interest rates increase or

decrease."

請教一下這句話那裡有問題？

課本解答的不是很清處的感覺，以下課本解答：

"Duration is a linear approximation. It's the tangent line to the

actual bond pricing curve is convex. Because of convexity, actual

prices (i.e., those on the actual pricing curve) will always above

the tangent line."

謝謝^^

--