You are a manager of a the Guaranteed Insurance Company general account.

The company has an insurance liability of $$15$ billion. The duration of the liability

is $7\mathrm{.}5$ and the convexity is $235.$

What is the value of the liability if rates rise from $7\%$ to $9\%?$

$$13\mathrm{.}50$ billion

$$12\mathrm{.}75$ billion

$$12\mathrm{.}3$ billion

$$15\mathrm{.}00$ billion