Modified duration and convexity with semiannual compounding
Both duration and convexity are a function of the curvilinear bond price: yield relationship. While duration measures the slope of the price:yield curve at a given yield-to-maturity, convexity measures the change in duration at this yield-to-maturity. Three shortcomings exist in the presentation of bond price volatility in financial education. First, modified duration and convexity should be used together as measures of bond price volatility. Second, these measures of bond price volatility should properly reflect semiannual compounding. Third, simple linear models for modified duration and convexity should be generally adopted in financial education literature.
Finance and General Business
Cole, C. Steven, and Philip J. Young. "Modified duration and convexity with semiannual compounding." Journal of Economics and Finance 19, no. 1 (1995): 1-15.
Journal of Economics and Finance