Duration · Concepts · European Finance Observatory

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ConvexityConvexity measures how a bond's duration itself changes as interest rates move, the curvature of the price-yield relationship. A bond with positive convexity gains more when yields fall than it loses when they rise by the same amount; callable bonds and mortgages can show negative convexity.
DV01 (Dollar value of one basis point)DV01, also called PV01 (present value of a basis point) or BPV (basis point value), is the change in the value of a position for a one basis point (0.01%) move in interest rates. It turns duration into a money amount: a bond position worth 10 million with modified duration 5 has a DV01 of about 5,000.
Yield curveA yield curve plots the yields of bonds of the same credit quality, such as government bonds, against their time to maturity. Its level, slope and curvature summarise market expectations of rates and term premia; the European Central Bank (ECB) publishes daily euro area yield curves, including spot and forward rates.
BondA bond is a debt security in which the issuer borrows from investors and promises to pay interest (coupons) and repay the principal at maturity. Key features are issuer, currency, coupon type (fixed, floating or zero), maturity, seniority and any embedded options; bonds are issued by governments, banks and companies.
Yield to maturityYield to maturity (YTM) is the single discount rate that makes the present value of a bond's future coupons and principal equal to its current price, assuming it is held to maturity and coupons are reinvested at the same rate. Bond prices and yields move in opposite directions.

Sources

Interest rate risk in the banking book, BCBS standards, BIS (external site) accessed 31 Oct 2026
Euro area yield curves, ECB (external site) accessed 31 Oct 2026

Updated 31 Oct 2026.

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