Convexity is given by:

$$C = \frac{1}{P} \left[ \frac{P^+ + P^- - 2P}{(\Delta r)^2} \right]$$

Where

• $P^+$ – a value of the position when all rates increase by $\Delta r$
• $P^-$ – a value of the position corresponding to the decrease of all rates by $\Delta r$

From the given information, we can see that the interest rate went down from 2.15% to 2.13% and also went up from 2.15% to 2.17%. Thus, $\Delta r = 0.02\% = 0.0002$

$$\therefore C = \frac{(100.115 + 98.250 - 2 \times 99.100)}{(99.100 \times 0.0002^2)} = 41,624.62$$