Convexity adjustment formula (ID: 142) [Edit]
Description of the Convexity adjustment formula
Formula for the calculation of a bond's convexity adjustment used to measure the change of a bond's price for a given change in its yield.
Formula
\[ CA = CV \times 100 \times \left ( \Delta y \right )^{2} \ \]
Symbols
\(CV\ \)
Bond's convexity
\(Δy\ \)
Change of yield
Additional information related to this formula
Related definitions from the glossary of financial terms
Bond • Clean price • Convexity • Yield