## Convexity

Function

**within Bond with keys Bond Convexity keys returns the convexity(ies) of the referenced bond(s) as of a given reference date**

*Convexity*

*Tˢ*The convexity

**is defined as follows:**

*C*C = 10000(∂²P/∂y²)/P

where

**the bond's yield and**

*y***is the bond's dirty price as of**

*P*

*Tˢ*The

**is the second derivative (a measure of curvature) of**

*∂²P/∂y²***with respect to**

*P*

*y*If the settlement date

**is not explicitly given, it will be set to the bond's settlement date as implied by a trade transaction assumed to occur on the trade date**

*Tˢ***(typically today).**

*T₀*PRECAUTION: This function treats the referenced bond as if it were a fixed rate bond even if this is not the case!

All index-linked cash flows are treated as fixed cash flows that pay the amount forecasted by the corresponding curve.