Bond Convexity Calculator
Price and convexity (discrete compounding)
How to Use This Calculator
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.
Frequently Asked 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.