Bond Convexity Adjustment Calculator

Work out bond convexity adjustment instantly with clear inputs, formula shown and shareable results.

About Bond Convexity Adjustment Calculator

Duration alone is a straight-line approximation of a curved price-yield relationship, so it overstates losses when yields rise and understates gains when they fall. The convexity term is the second-order correction that fixes both.

Formula

Second-order price change

ΔP/P ≈ -D_mod·Δy + ½·C·Δy²

D_mod: Modified duration
C: Convexity
Δy: Yield change

Worked example

With the default values below, Bond Convexity Adjustment Calculator returns Estimated New Price of $931.25. Change any input above and every figure here is recalculated in your browser.

Inputs used

Bond Priceminimum 0: 1,000
Modified Durationaccepts 0.1–40: 7.2
Convexityaccepts 0–800: 65
Yield Changeaccepts -1,000–1,000: 100

Results

Estimated New Price: $931.25
Total Estimated Price Change: -6.8750%
Duration Effect: -7.2000%
Convexity Adjustment: 0.3250%

Step by step

1Values used
2Second-order price change
3Estimated New Price= 931.25
4Total Estimated Price Change= -6.8750
5Duration Effect= -7.2000
6Convexity Adjustment= 0.3250

Assumptions and limits

The result is derived only from the 4 inputs listed above. Anything not among them is not part of the calculation.
In particular, this calculator does not take inflation, tax, fees or charges or compounding frequency into account.
Figures are rounded for display to 4 decimal places, so totals built from several rounded parts can differ slightly from the unrounded arithmetic.

How these calculators are built and tested is described on the Methodology page. If a figure looks wrong, please report it.

Frequently Asked Questions

Why is the convexity term always positive?

Because Δy is squared. Positive convexity helps a bondholder in both directions, which is why it is worth paying for.

When does the adjustment matter most?

For large yield moves and long-dated or low-coupon bonds, where convexity is high.