[Verse 1] When bond prices move, duration's our guide Estimates the change when yields shift side to side But when the moves get big, something's not right Duration alone leaves us short in our sight The curve is not straight, it bends like a bow That's where convexity helps our knowledge grow [Chorus] Convexity adjustment makes it right Duration plus convex gives better sight Half times convex times yield change squared Add it to duration, now you're prepared C-O-N-V-E-X makes the curve complete Better price estimates, can't be beat [Verse 2] Start with duration, multiply by yield change Then comes convexity to extend the range Take half the convexity, don't forget that rule Times yield change squared, it's a powerful tool Add them together for the total effect Price change estimate that's more correct [Chorus] Convexity adjustment makes it right Duration plus convex gives better sight Half times convex times yield change squared Add it to duration, now you're prepared C-O-N-V-E-X makes the curve complete Better price estimates, can't be beat [Bridge] When yields move small, duration's okay But big moves need convexity's way Fifty basis points or more you see That's when you need convexity The bigger the move, the more it counts Accuracy is what it amounts [Verse 3] Formula's simple, easy to recall Duration effect plus convexity for all Negative duration times the yield shift Plus half convexity gives prices a lift The second-order effect smooths the curve Giving bond traders what they deserve [Chorus] Convexity adjustment makes it right Duration plus convex gives better sight Half times convex times yield change squared Add it to duration, now you're prepared C-O-N-V-E-X makes the curve complete Better price estimates, can't be beat [Outro] When the market moves and yields take flight Convexity adjustment makes it right Remember the formula, keep it near Half times convex makes the path clear
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