DURATION & RISK
Duration-Convexity Price Change
Combines first- and second-order interest-rate sensitivity.
Formula
ΔP/P ≈ -D_modΔy + 0.5×Convexity×(Δy)^2
Variables: D_mod modified duration; Convexity; Δy
What it means
Combines first- and second-order interest-rate sensitivity.
Example
For larger rate moves, adding the convexity term usually improves on duration alone.
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
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