Convexity is defined as:
A)the degree of curvature of the price-yield curve around some maturity level
B)the degree of curvature of the price-yield curve around some price level
C)the degree of curvature of the price-yield curve around some interest rate level
D)None of the listed options are correct.

Question

Quizplus · Accepted Answer

Convexity is 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. This definition aligns with option C, which refers to the degree of curvature of the price-yield curve around some interest rate level.

Convexity Is Defined As