convexity

A measure of the sensitivity of duration to changes in yield levels. Convexity is a measure of the stability or instability of the measured duration over a range of yields. If convexity is low, that is, if the price/yield relationship is close to a straight line, duration is stable. If convexity is high, duration is unstable. The greater an instrument's convexity, the less accurate duration will be.
See duration, effective duration, Macaulay duration and modified duration. American Banker Glossary
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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. Bloomberg Financial Dictionary

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   Like duration, convexity is a measure of the price sensitivity of a bond. It measures the change in modified duration for a change in yield.
   ► See also Duration.

Financial and business terms. 2012.

Look at other dictionaries:

  • Convexity — Con*vex i*ty, n.; pl. {Convexities}. [L. convexitas: cf. F. convexit[ e].] The state of being convex; the exterior surface of a convex body; roundness. [1913 Webster] A smooth, uniform convexity and rotundity of a globe. Bentley. [1913 Webster] …   The Collaborative International Dictionary of English

  • convexity — [kän vek′sə tē, kənvek′sə tē] n. [L convexitas] 1. the quality or condition of being convex 2. pl. convexities a convex surface, line, etc …   English World dictionary

  • Convexity — A measure of the curvature in the relationship between bond prices and bond yields that demonstrates how the duration of a bond changes as the interest rate changes. Convexity is used as a risk management tool, and helps to measure and manage the …   Investment dictionary

  • Convexity — (Roget s Thesaurus) < N PARAG:Convexity >N GRP: N 1 Sgm: N 1 convexity convexity prominence projection swelling gibbosity bilge bulge protuberance protrusion Sgm: N 1 camber camber cahot =>(N. Am.) …   English dictionary for students

  • convexity — (New American Roget s College Thesaurus) Curved like the outside surface of a sphere or circle Nouns 1. (shape) convexity, prominence, projection, swell[ing], bulge, protuberance, protrusion, growth, lump; stud. See rotundity. 2. (convex object)… …   English dictionary for students

  • convexity — iškilumas statusas T sritis fizika atitikmenys: angl. convexity vok. Konvexität, f; Wölbung, f rus. выпуклость, f pranc. convexité, f …   Fizikos terminų žodynas

  • convexity — convex ► ADJECTIVE ▪ having an outline or surface that curves outwards like the exterior of a sphere. Compare with CONCAVE(Cf. ↑concavity). DERIVATIVES convexity noun convexly adverb. ORIGIN Latin convexus vaulted, arched …   English terms dictionary

  • convexity — noun (plural ties) Date: 1599 1. the quality or state of being convex 2. a convex surface or part …   New Collegiate Dictionary

  • convexity — n. [L. convexus, arched outward] (MOLLUSCA: Bivalvia) The degree to which the shell is convex …   Dictionary of invertebrate zoology

  • convexity — /keuhn vek si tee/, n., pl. convexities for 2. 1. the state of being convex. 2. a convex surface or thing. [1590 1600; < L convexitas. See CONVEX, ITY] * * * …   Universalium

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