Convexity measures the relationship between bond prices and bond yields, which shows how a bond’s duration changes with interest rates.

Negative convexity occurs when the shape of a bond's yield curve is concave. Most mortgage bonds are negatively convex, and callable bonds usually exhibit negative convexity at lower yields.

The graph below displays the convexity of our 10-year 2% muni near par (calculated by shifting the yield curve 30 basis points). Above 103 the convexity is roughly 1.0, and then it begins to ...

This is negative convexity, and what is significant here is how holders of MBS respond. In order to maintain a similar market exposure, the owner of the MBS needs to buy more bonds, swaps, or MBS ...

How to Calculate Convexity of a Bond. For fixed-income investments, such as bonds, it is important to measure the sensitivity of the bond's price to movements in the interest rate. This helps ...

In a few recent columns, we’ve talked about duration and convexity in the context of changing market prices.  They are some of the most misunderstood and misused terms in finance, and ...

The convexity of Euro futures has been cycling around 1.05, its long-term mean and median since October 2013. Andrii Yalanskyi. By Dr. Mark Shore and Michael Copeland. At a Glance.

You get what you pay for, and if contemporaneous convexity is what you are looking for, then options are probably the most cost-effective way of getting it. Editorial Standards Reprints & Permissions ...

Convexity analysis alone may have recommended selling $250b in securities, but $100b of the duration issues were addressed elsewhere in the balance sheet so only $150b in MBS's needed to be sold.

Convexity, a geometric property where concept regions contain all points along paths between examples, is prevalent in both human cognition and deep neural networks.

Convexity hedging was evident recently in the tightening spread between a 10-year interest rate swap and the 10-year Treasury yield. Tighter swap spreads meant that the differential between the ...