Looking for some clarity on convexity. Pg. 113 of the Schweser Notes, Book 3 states that positive convexity means that the price of the bond increases at an increasing rate as the interest rate falls below the coupon rate and falls at a decreasing rate as the interest rate rises above the coupon.
I might be forgetting my level 1 bond skills, do we have to assume that in this case the “interest rate” is of similar maturity on the yield curve to the bond is question? i.e. if the bond has a five year term and coupon of 4%, are we only concerned with 5 year rates on the yield curve increaing or decreasing above the coupon rate.