convexity investment & finance definition
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For a bond or note, a measure of the way duration and prices change when interest rates change, as represented in the curvature of the price-yield relationship.
Convexity
Rate of change in duration with respect to changes in interest rates. Positive convexity occurs when durations shorten as interest rates rise or lengthen as interest rates decrease.
Convexity
Definition:
Property that a curve is above a Straight line connecting two end points. If the curve falls below the straight line, it is called concave. ...
Convexity is a measure of the curvature or 2nd derivative of how the price of a bond varies with interest rate, i.e. how the duration of a bond changes as the interest rate changes.
CONVEXITY - 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
A measure of the change in a security's duration with respect to changes in interest rates. The more convex a security is, the more its duration will change with interest rate changes
Cost of Funds Index (COFI), 11th District ...
Convexity - A financial instrument is said to be convex (or to possess convexity) if the financial instrument's price increases (decreases) faster (slower) than corresponding changes in the underlying price.
Convexity - 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.
Convexity
Main article: Bond convexity
Duration is a linear measure of how the price of a bond changes in response to interest rate changes.
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).
The convexity of a bond calculated with cash flows that change with yields.
Effective date
In an interest rate swap, the date the swap begins accruing interest.
Positive Convexity describes the situation where the bond price appreciation for a large downward change in interest rates will be greater the price depreciation for the same upward change in interest rates.
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Counterparty Risk ...
Negative convexity
A bond characteristic such that the price appreciation will be less than the price depreciation for a large change in yield of a given number of basis points.
The sensitivity of Convexity (q.v.) to a change in yield.
The "Convexity" of Modified Duration (q.v.).
The third derivative of a financial instrument's value with respect to its yield.
Related: Deferred futures Negative carryRelated: Net financing cost Negative convexityA bond characteristic such that the price appreciation will be less than the price depreciation for a large change in yield of a given number of basis ...
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.
convexity A volatility measure for bonds used in conjunction with modified duration in... conveyance The transferring of a property title from one individual to another. COO Acronym for Chief Operating Officer.
 See also: Interest, Interest Rate, Market, Bond, Investment
  
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