What Is Negative Convexity?

Convexity is the change in duration caused by a 1% change in yield. Used to measure the curvature of the bond price yield curve. The greater the convexity, the greater the degree of curvature of the bond price curve, and the greater the error in interest rate risk measured by the modified duration.

Convexity

When two

Convexity definition

Let the central angle contained in the arc be A (in radians), then the convexity = the tangent of the quarter central angle

AutoLisp means: (/ (sin (/ A 4.0)) (cos (/ A 4.0)))

C # means:

Convexity = sin (A / 4) / cos (A / 4)

The range of the convexity value is the range of sin (A / 4) / cos (A / 4), A = 0 2 * PI

0 to positive infinity, when A = 360, cos90 = 0, so the value is invalid

The sign of the convexity indicates the direction of the arc