The amount that a bond's price sensitivity differs from what is implied by its duration.

The sensitivity of the duration of a bond to changing interest rates. A high convexity means that the price of the bond in question will be more responsive to interest rate fluctuations.

A measure of the price sensitivity of a fixed income security to changes in interest rates. “Convexity” refers to the shape of the price curve when graphed against theoretical interest rate points. Convexity is influenced by such factors as the coupon rate, maturity and any calls that may or may not exist. Prices rise at increasing rates as yields fall and prices decline at decreasing rates as yields rise. Compare: DURATION.

A volatility measure of the way bond duration and price will change when interest rates change.

Convexity captures the change in duration with respect to changes in interest rates. For all option-free fixed income securities (i.e., Treasury securities), duration increases as yields decline. Conversely, when yields increase, duration will decrease. This attractive feature is positive convexity which enhances option-free bond price performance. Mortgage-backed securities and callable corporate bonds have embedded options and do not exhibit positive convexity.

The rise or fall of a bond portfolio relative to an index of bonds. A portfolio that rises more rapidly than the bond market and also falls less than the bond market as interest rates fluctuate, is said to have a "positive" convexity.

The rate at which the duration of a security changes as interest rates change. Positive convexity implies that for small, equal and opposite changes in interest rates, the increase in price if rates go down will be more than the decrease in price if rates increase. Negative convexity, on the other hand, implies that the increase in price if rates go down will be smaller than the decrease in price if rates increase.

The rate of change of duration of a bond or bond portfolio with respect to changes in the yield-to-maturity of the bond or portfolio.

An additional measure of risk which – when used in conjunction with modified duration – provides a more accurate approximation of the percentage price change resulting from a specified change in a bond's yield.

a measure showing the sensitivity of a change in the price of a fixed income security in response to a change in interest rates.

The correlation between changes in interest rates and bond prices is not linear, but convex. Convexity is a measure of the curvature of this interest-rate/bond-price curve and facilitates accurate determination of the price change in the event of appreciable interest rate changes.

The tendency of the price movement of a security to accelerate as it appreciates. Positively convex securities experience accelerated price action as they appreciate, while negatively convex securities experience dampened price action as they appreciate. The negative convexity of many MBS is one of the critical risk factors that must be hedged.

Is the second derivative of the price/yield curve for a bond.

In a fixed income security, convexity measures the way duration and price change when interest rates change.

Convexity is the ratio of change in duration for a given change in yield - the change in the slope of the price as a function of a change in yield (second derivative of the price function). In general, convexity increases with longer maturities and smaller coupons and yields.

Convexity refers to the shape (i.e., degree of curvature) of the price/yield relationship in a fixed income instrument.

Describes the rate of change in duration as interest rates change.

factor sensitivities indicating a fixed income portfolio's second order (quadratic) sensitivity to the parallel shifts in the spot cure.

The rate of change of duration as yields change. A security exhibits positive convexity when its price rises more for a downward move in its yield than its price declines for an equal upward move in its yield.

The measurement of the rate of change of duration of a security.

Rate of price change for fixed income securities relative to shifts in the yield curve

Measure of the curvature of the price-yield relationship of a fixed-income security. Any fixed-income security with known cash flows has positive convexity.

A measure of second-order exposure to interest rates.

If a graph of the relationship between price and yield on a bond is plotted, the result will not be a straight line but a curved line. The degree of curvature is called its convexity and the statistic measuring the curvature is also known as convexity. A change in the price/yield relationship will change convexity so the degree of curvature is important in assessing the value of a security. Duration is an acceptable gauge in evaluating the effect of a small change in yield but for larger changes, convexity is required. Positive convexity refers to a situation in which a fixed-income security's value increases at least as much as duration predicts when interest rates drop and decreases less than duration predicts when rates rise.

The rate to which the price of a bond will be responsive to interest rate fluctuations.

The second derivative of a bond's price change with respect to its yield, divided by its price. This number, used in conjunction with modified duration provides a more accurate approximation of the percentage price change resulting from a specified change in a bond's yield than does modified duration alone. Convexity is the price measure of how much a bond's price/yield curve deviates from a straight line (measure of the degree of curvature of the price/yield relationship). Measures the rate of change of a security's modified duration for a given change in yield.