Bond Convexity
Measure curvature in a fixed bond’s price-yield relationship.
Your numbers
Annualized convexity
Educational estimate using your assumptions; no live rates, tax rules or investment recommendations. Returns can be negative and are not guaranteed. Assumes equal coupon periods and no embedded options.
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Formula
Use K = Σ[k(k+1)CFₖ/(1+y/m)^(k+2)]/(Pm²). CFₖ is the payment in coupon period k, P is bond price, y is the nominal annual yield fraction, and m is payments per year. K estimates local price curvature with respect to yield.
Measure curvature in a fixed bond’s price-yield relationship.
Worked example
- Face value
- 1000
- Annual coupon rate (%)
- 5
- Nominal annual yield (%)
- 5
- Whole years to maturity
- 5
- Coupon payments per year
- 2
- Annualized convexity
- 22.6123221851
Scope and limitations
Educational estimate using your assumptions; no live rates, tax rules or investment recommendations. Returns can be negative and are not guaranteed. Assumes equal coupon periods and no embedded options.
Inputs are checked for missing values and allowed ranges. A result outside the finite numeric range is not displayed. Rounding affects display, while the calculation uses the model’s numeric precision.
Check your units and assumptions before relying on a result. Changing a label does not convert a currency or physical unit.
Formula version: 2631f68d4f28 · Example checked: