Bond convexity IS the 2nd derivative of price change with respect to yield change. The author is correct in that regard. Reply. Like. larocag. 27 Jun. 2013. Comments (1.47K) ...

A bond with stronger convexity may hold its value better in the face of changing interest rates. A bond with longer duration and smaller coupons will experience more pronounced effects of ...

For example, the 10-year optionless bond above would rally only 4.71% if rates fell 50 basis points, but based on its tax-neutral duration and convexity at the time, an investor would expect it to ...

This means the bond market is very vulnerable to a convexity trade to higher yields, especially once the ball gets rolling. The recent move to new high yields for the last 12 months could trigger ...

Positive and negative convexity. Generally speaking, there are two forms of convexity: positive and negative. Positive convexity is when the duration of a bond increases as its price decreases; ...

It has been a long time since we have had to worry about and think about the phenomenon of mortgage convexity and the effect that it can have on the bond market. But with 10-year interest rates up ...

Positive and negative convexity. Generally speaking, there are two forms of convexity: positive and negative. Positive convexity is when the duration of a bond increases as its price decreases; ...

Convexity, like duration, is used to compare the relative risks associated with bonds. A more convex bond will be less affected by interest rates if it competes against another obligation offering ...

Bond market investors see increased risk that surging benchmark U.S. Treasury yields could hit or exceed March highs, ... But for now, so-called "convexity hedging", if it's happening at all, ...

An explainer on negative convexity (what is it, why do we care, and why some folks think hedging against it played a role in the August bond rally). Photo Illustration by Emil Lendof/The Wall ...

Bond market investors see increased risk that surging benchmark U.S. Treasury yields could hit or exceed March highs, which could fuel a wave of government debt selling by mortgage portfolio ...