--- /dev/null
+## Copyright (C) 2011 Hong Yu <hyu0401@hotmail.com>
+##
+## This program is free software; you can redistribute it and/or modify it under
+## the terms of the GNU General Public License as published by the Free Software
+## Foundation; either version 3 of the License, or (at your option) any later
+## version.
+##
+## This program is distributed in the hope that it will be useful, but WITHOUT
+## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
+## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
+## details.
+##
+## You should have received a copy of the GNU General Public License along with
+## this program; if not, see <http://www.gnu.org/licenses/>.
+
+## -*- texinfo -*-
+## @deftypefn {Function File} {@var{cfConv} =} cfconv (@var{cf}, @var{yield})
+## Calculate convexity @var{cfConv} from given fixed-paid cash flow @var{cf} and
+## period yield @var{yield}.
+##
+## Reference:
+##
+## [1] http://thismatter.com/money/bonds/duration-convexity.htm
+##
+## [2] http://en.wikipedia.org/wiki/Bond_convexity
+##
+## @seealso{cfdur}
+## @end deftypefn
+
+function [cfConv] = cfconv (cf, yield)
+
+ if ( nargin != 2 )
+ print_usage ();
+ elseif ( ! isscalar(yield) )
+ error("yield: must be scalar");
+ elseif ( rows(cf) != 1 )
+ error("Cash Flow: must be 1xN");
+ endif
+
+ v_idx = 1:columns(cf);
+ t1 = (1+yield) .^ (-v_idx);
+ t2 = ((v_idx .^ 2) + v_idx) .* t1;
+
+ cfConv = (cf*t2') / (cf*t1') / (1+yield) / (1+yield);
+
+endfunction
+
+%!demo
+%! cf = [2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 102.5];
+%! yield = 0.025;
+%! cfConv = cfconv( cf, yield )
+%! %--------------------------------------------------
+%! % Input cash flow and yield, output convexity
+
+%!test
+%! cf = [2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 102.5];
+%! cfConv = cfconv( cf, 0.025 );
+%! errVal = round(cfConv*(1e+4))*(1e-4) - 90.4493;
+%! errVal = round(errVal*(1e+10));
+%! assert(errVal, 0)