Bond Convexity Calculator
Price and convexity (discrete compounding)
Instructions
Provide bond terms and YTM, select payment frequency, then calculate. The tool returns the bond price and convexity.
Formula
Convexity = (1/P) × Σ[ CF_t × t(t+1) / (1+y/f)^(t+2) ] / f²
P = price, CF_t = cash flow at period t, y = YTM, f = payments/year.
About Bond Convexity
Convexity measures the curvature of the price-yield relationship and refines duration-based price change estimates.
Common Questions
What units is convexity in?
This discrete formula yields convexity in 1/(yield units)². Values are dimensionless for comparison.
Does higher convexity mean lower risk?
Higher convexity generally benefits investors for large rate moves, improving price appreciation versus depreciation.