For the following bond,

Par value: $1,000

Coupon rate: 8% paid annually

Time to maturity: 3 years

Interest rate: 3%

What is the convexity? Also, if the interest rate increases from 3% to 4%, what is the price change due to the convexity?

Select one:

a. Convexity: 9.7806; price change: $.7087

b. Convexity: 11.125; price change: $.6402

c. Convexity: 10.2961; price change: $.5876

d. Convexity:11.925; price change: $.8887