The convexity measure of a security refers to:
A) Price volatility that relates maturity and coupon.
B) The approximate change in price that is not explained by duration.
C) The shape of the price/yield relationship.
D) The approximate percentage price change of a bond for a 100 basis point change in interest rates.
E) None of the above.

Question

Quizplus · Accepted Answer

Convexity measures the sensitivity of the duration of a bond to changes in interest rates, capturing the change in price not explained by duration alone.

The Convexity Measure of a Security Refers To