Answer: 1,042

**Explanation:** The approximate convexity of a bond is calculated using the formula: \[ \text{ApproxCon} = \frac{(PV_{+}) + (PV_{-}) - 2 \times (PV_0)}{(\Delta Y)^2 \times (PV_0)} \] Where: - \( PV_{+} \) is the price when the yield decreases by 10 basis points (96.30). - \( PV_{-} \) is the price when the yield increases by 10 basis points (95.80). - \( PV_0 \) is the original price (96.00). - \( \Delta Y \) is the change in yield (0.001 or 10 basis points). Substituting the values: \[ \text{ApproxCon} = \frac{96.30 + 95.80 - 2 \times 96.00}{(0.001)^2 \times 96.00} = \frac{192.10 - 192.00}{0.000001 \times 96.00} = \frac{0.10}{0.000096} \approx 1,042 \] **Option A (521)** is incorrect because the denominator is mistakenly multiplied by 2, as in the calculation of approximate duration. **Option C (2,604)** is incorrect because the change in yield (0.001) is not squared, leading to an erroneous calculation.

Author: LeetQuiz Editorial Team