The larger the rate change and the larger the convexity of a fixed price security or portfolio the greater the error the FI manager faces in using just duration to immunise the rate shock exposure. All fixed income securities are convex eg. Calculation of convexity - not covered. Properties of convexity a. As a bonds maturity increases so does its convexity.
Different models deal with different yield curves and shapes.
This example shows 4.92 years. Obviously changes in cashflow will mean changes in duration ie. Deferred payments will lengthen duration. The duration of a floating rate instrument is generally the time between the acquisition and the time the first cashflow is readjusted or the time to repricing. CBA annual report talks about this and things such as customer loyalty etc.