Bond Convexity Calculator

Convexity measures the curvature of the bond price-yield relationship. It corrects duration's linear approximation, especially for large rate moves. The computation rests on ΔP% ≈ −ModDur × Δy + ½ × Convexity × Δy². A bond with modified duration 4.21 and convexity 24.9 facing a +1% yield move prices at −4.21% + 0.5 × 24.9 × 0.01² ≈ −4.09% — the convexity term claws back 0.12 points. Each input you type is substituted the instant you release the key, and the result is expressed in exactly the units or currency you chose.

1. 1

   Step 1

   Start with the primary figures the Convexity Calculator asks for.

2. 2

   Step 2

   Your values are substituted into ΔP% ≈ −ModDur × Δy + ½ × Convexity × Δy².

3. 3

   Step 3

   Read off the computed result.

4. 4

   Step 4

   Vary one input at a time to see its effect.

• Mixing signs

• Stale convexity

• Overkill for small moves