Bond convexity closed-form formula (Blake and Orszag):
D = coupon payment per period
P = present value (price)
B = face value
i = discount rate per period (half-year)
a = fraction of a period remaining until next coupon payment ...
Definition
Bond convexity
In finance, convexity is a measure of the sensitivity of the price of a bond to changes in interest rates. It is related to the concept of duration.
Main article: Bond convexity
Duration is a linear measure of how the price of a bond changes in response to interest rate changes. As interest rates change, the price does not change linearly, but rather is a convex function of interest rates.
This retains the normal inverse relationship between the price and the yield of interest rate securities. However, the bond convexity is not maintained due to the pricing of the Eurodollar contracts in yield terms.
 See also: Convexity, Income, Profit, Yield, Share
  
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