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Convexity adjustment formula

Description of the Convexity adjustment formula

Formula for the calculation of a bond's convexity adjustment used to measure the change of a bond's price for a given change in its yield.

Formula

\[ CA = CV \times 100 \times \left ( \Delta y \right )^{2} \ \]

Symbols

\(CV\ \)       
Bond's convexity
\(Δy\ \)       
Change of yield