Asume the convexity is scaled by the bond price, i.e.

A par bond price is B=100$.

Interest rate increase by 1% makes the price B(+1%) = 97$.

Interest rate decrease by 1% makes the price B(-1%) = 101$.

What is the convexity of a bond?

Use the decimals for the rate, 0.01 for 1%.

What is the convexity of a bond? Use the decimals for the rate, 0.01 for 1%.

Cvx= 1 dB a2B(r) B(r) ar