• Is the second derivative of the price/yield curve for a bond.
• Measures the rate of change in a bond's sensitivity to interest rate moves. It's the rate of change in a bond's duration (price volatility).
• The slope of the price-yield relationship for a fixed-income security. Convexity is normally positive but can be negative.
| ||Embedded terms in definition|
| ||Referenced Terms|
| ||Effective convexity: The Convexity of a bond calculated with cash flows that change with yields.|
| ||Optimization approach to indexing: An approach to indexing which seeks to Optimize some objective, such as to maximize the portfolio yield, to maximize Convexity, or to maximize expected total returns.|
| ||Related Terms|
| ||Effective convexity|