Convexity of a bond formula
Financial acronyms
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Description of the Convexity of a bond formula
Formula for the calculation of a bond's convexity
Formula
\[ CV = \frac{P' + P'' - 2P}{2P\left ( \Delta y \right )^{2}} \ \]
Symbols
\(ΔP′\ \)
Change of the price if yield increases by one basis point
\(ΔP″\ \)
Change of the price if yield decreases by one basis point
\(Δy\ \)
Change of yield
\(P\ \)
Bond price
Additional information related to this formula
Related definitions from the glossary of financial terms
Bond • Clean price • Convexity • Yield