where 
p bond price when interest rate is decreasedp bond price when interest rate is increasedp 0 bond pricedy change in interest rate in decimal formfor example assume a bond is currently priced at 1 000 if interest rates are decreased by 1 the bond s new price is 1 035 if interest rates are increased by 1 the bond s new price is 970 the approximate convexity would be convexity approximation 1 035 970 2 x 1 000 2 x 1 000 x 0 01 2 5 0 2 25