What is Convexity?

Mduration 8.1108958 Coupon Yield 4.00% 4.00% 9/20/20 9/20/30 C P DF PV 1 0.962 2 4.00% 4.00% 4.00% 4.00% 3 4 5 3.85% 3.70% 3.56% 3.42% 3.29% 3.16% 3.04% 2.92% 2.81% 70.26% 0.925 0.889 0.855 0.822 0.790 0.760 0.731 0.703 0.676 4.00% 4.00% 4.00% 4.00% 4.00% 4.00% Macaulay 0.0385 0.0740 0.1067 0.1368 0.1644 0.1897 0.2128 0.2338 0.2529 7.0259 DF(+1) 0.961 0.924 0.889 0.854 0.822 0.790 0.759 0.730 0.702 0.675 DF(-1) 0.962 0.925 0.889 0.855 0.822 0.791 0.760 0.731 0.703 0.676 PV(+1) 0.0385 0.0370 0.0355 0.0342 0.0329 0.0316 0.0304 0.0292 0.0281 0.7019 PV(-1) Modified Duration 0.0385 -0.0370 0.0370 -0.0711 0.0356 -0.1026 0.0342 -0.1315 0.0329 -0.1581 0.0316 -0.1824 0.0304 -0.2046 0.0293 -0.2248 0.0281 -0.2432 0.7033 -6.7556 6 DV01 0.0096% 0.0092% 0.0089% 0.0085% 0.0082% 0.0079% 0.0076% 0.0073% 0.0070% 0.0068% 7 8 9 10 100% 100.0000% 8.4353 99.92% 100.08% -8.1109 0.0811% Modified Duration ==> Macaulay/(1+r) ==> 8.1108958 Modified Duration 0.0008111 Convexitiy