Bond Convexity Calculator
Calculate bond convexity to measure the curvature of price-yield relationship and improve duration-based price change estimates.
Bond Details
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Convexity measures the curvature of the price-yield curve. Positive convexity is beneficial as it means prices rise more when yields fall than they drop when yields rise.
Bond Convexity
75.47
curvature measure
Modified Duration
7.922 yrs
Bond Price
$1,081.76
Price Change Analysis (1% Yield Change)
Duration Effect-$85.70
Convexity Effect$4.08
Total Price Change-$81.62
Price Estimates
Current Price$1,081.76
If Yield Falls 1%$1,171.69
If Yield Rises 1%$1,000.00
Convexity Properties
- - Higher convexity = Better protection against rate changes
- - Convexity adds value (always positive adjustment)
- - More important for large yield changes
- - Callable bonds have negative convexity at low yields