Dictionary of Banking Terms: convexity
convexity
in bonds and other fixed-income securities, a measure of the rate of change in duration. It is called convexity because the shape of the typical yield curve measuring price versus maturity of a security, for example, a ten-year Treasury bond, is somewhat rounded or convex in shape. The ten-year Treasury bond is said to have positive convexity.
Source: William W. Barlett, Mortgage Backed Securities (New York: Institute of Finance, 1989), p.203.
Dictionary of Finance and Investment Terms: convexity
convexity
mathematical concept that measures sensitivity of the market price of an interest-bearing bond to changes in interest rate levels.
