Convexity
Function Convexity within Bond with keys Bond Convexity keys returns the convexity(ies) of the referenced bond(s) as of a given reference date Tˢ
The convexity C is defined as follows:
C = 10000(∂²P/∂y²)/P
where y the bond's yield and P is the bond's dirty price as of Tˢ
The ∂²P/∂y² is the second derivative (a measure of curvature) of P with respect to y
If the settlement date Tˢ 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 T₀ (typically today).
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.