The Convexity command calculates the convexity of a set of cash flows or a bond.

For a set of cash flows  the convexity is defined as

where  is the discount factor at time  implied by the given interest rate.

A bond's convexity is defined as the weighted second derivative of the price function with respect to the interest rate:

The parameter cashflows is a cash flow or a list of cash flows (see FixedRateCoupon, InArrearIndexedCoupon, ParCoupon, SimpleCashFlow, or UpFrontIndexedCoupon).

The parameter bond must be a fixed- or floating-rate bond data structure (see FixedCouponBond, FloatingRateBond, ZeroCouponBond).

compounding = Simple, Continuous, Annual, Semiannual, EveryFourthMonth, Quarterly, Bimonthly, Monthly, SimpleThenAnnual, SimpleThenSemiannual, SimpleThenEveryFourthMonth, SimpleThenQuarterly, SimpleThenBimonthly, or SimpleThenMonthly -- This option specifies the compounding type for the given interest rate.

daycounter = a name representing a supported day counter (e.g. ISDA, Simple) or a day counter data structure created using the DayCounter constructor -- This option provides a day counter which will be used to convert the period between two dates as a fraction of the year.

evaluationdate =  a string containing a date specification in a format recognized by ParseDate or a date data structure -- This option specifies the evaluation date. By default this is set to the global evaluation date (see EvaluationDate).

The Finance[Convexity] command was introduced in Maple 15.

For more information on Maple 15 changes, see Updates in Maple 15.