We want to see what happen to the price if the yield
changes from its initial value y0 to a new value y0+Dy
Risk management is all about assessing the effect of
changes in risk factors (such as yield) on asset values.
We could recompute the new value of bond as P1 = f(y1).
If the change is not too large, the nonlinear relationship
could be approximated by a Taylor expansion around its
initial value: