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A measure of the degree of curvature between bond prices and bond yields that are inversely related in a non-linear manner. The size of the rise in a bond’s price associated with a given decrease in its yield is greater than the drop in the bond’s price for a similar sized increase in the bond’s yield resulting in a graphical representation that shows a convex curve. The degree of curvature is not the same for all bonds as it depends on the size of the coupon payments, the sensitivity of duration to changes in interest rate, the life of the bonds as well as its current market price.


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