A bond has a duration of 4.50 and convexity of 39.20. If interest rates increase by 0.5%, the percentage change
in the bond’s price will be closest to:
a) -2.3%
b) -2.25%
c) -2.2%

The correct answer given is b but according to my calculation the answer is coming out to be (c) by using the formula -AnnDur x Change in yield + 0.5 x Convexity x Change in yield^2

(Incorrect) Answer B’s only accounting for duration (which is indeed -2.25%), not the convexity effect, where you’re correctly adding (1/2)*39.20x(0.005)^2 = 0.049% which then gets added to -2.25% to get -2.2%.