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Basic Question 5 of 17

What is the convexity adjustment to the percentage price change of an 11%, 15-year bond selling at par if the convexity measure is 40.625 and there is a 20 basis point change in yield?

A. 0.01625%
B. 0.8125%
C. 1.625%

User Contributed Comments 2

User Comment
robbiecow According to the CFAI book page 504, Convexity Adjustment uses .5 in the formula.
CJPerugini Do not square the % Change in YTM in decimal form (0.002^2) or else your result will be off by a factor of 2. Use (0.2^2/100) instead.
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I was very pleased with your notes and question bank. I especially like the mock exams because it helped to pull everything together.
Martin Rockenfeldt

Martin Rockenfeldt

Learning Outcome Statements

calculate and interpret convexity and describe the convexity adjustment

calculate the percentage price change of a bond for a specified change in yield, given the bond's duration and convexity

CFA® 2025 Level I Curriculum, Volume 4, Module 12.