Convexity
(1) In a fixed-income instrument a measure of the way duration changes as interest rates change.
(2) For options a measure of the way delta (or, more generally, any of the first-order derivatives) changes as the underlying changes.
(1) In a fixed-income instrument a measure of the way duration changes as interest rates change.
(2) For options a measure of the way delta (or, more generally, any of the first-order derivatives) changes as the underlying changes.