DURATION & RISK
Convexity
Captures curvature in the price-yield relationship beyond duration.
Formula
Convexity ≈ (P_- + P_+ - 2P0)/(P0(Δy)^2)
Variables: P_-, P_+, P0 shocked and initial prices; Δy
What it means
Captures curvature in the price-yield relationship beyond duration.
Example
Use symmetric yield shocks to estimate how the duration approximation changes as yields move.
How to interpret it
This concept should be read together with its market convention, measurement horizon and underlying instrument. BondStats presents it as an analytical reference rather than investment advice; instrument documentation and primary market rules remain authoritative.
Related Formulas
BondStats reference content is independently written. Mathematical relationships, abbreviations and market conventions are presented for educational and analytical use.