How does convexity change a duration-based price estimate?

Duration gives a linear approximation. Convexity adds a curvature adjustment. If the yield move is tiny, the adjustment is often negligible. As the yield move becomes larger, or when answer choices are close together, the convexity term can change both the estimated magnitude and the ranking of alternatives.

A practical exam rule is to start with duration and then ask whether the move is large enough for the straight-line estimate to become rough. If it is, convexity belongs in the answer. Practice more in our CFA question bank if you want to see how often that second-order adjustment decides the correct choice.