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Bond Convexity from Duration and YTM Calculator

Second-order price sensitivity to yield changes.

Estimates bond convexity and the percentage price change from a yield shift ΔP/P ≈ −D_mod·Δy + ½·Convexity·(Δy)². Convexity improves large-shift price estimates.

Nadia Almasri By Nadia Almasri
Published Last reviewed 1 min read

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Results

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How to use this calculator

  1. Fill in the inputs above using the units you already have.
  2. Values update automatically as you type — no submit button needed.
  3. Hover any result row for the underlying formula and intermediate values.

Formula

ΔP/P ≈ −D_mod·Δy + ½·Cvx·(Δy)²

In depth

Estimates bond convexity and the percentage price change from a yield shift ΔP/P ≈ −D_mod·Δy + ½·Convexity·(Δy)². Convexity improves large-shift price estimates.