BOND PRICE & CONVEXITY CALCULATORS

Investment Strategies

Bond Markets & Research


Bond Price Calculators

Current Bond Price ($)
Duration of Bond (yrs.)
Assumed Change in Interest Rates (in %)


Change in Bond Price
New Bond Price ($)

  • For bonds with minimal convexity, a basic estimate of a bond's price response to changes in rates is:
    % Change in Price = ((-Duration) * (% Change in Rates))

Notes:

  • This calculator is best suited for bullet bonds that are exposed to a single point on the curve. For bonds that amortize, one would have to assume a parrallel shift in rates for the above to be accurate.
  • This calculator assumes an instantaneous move in rates and therefore, does not capture an accretion of discount or amortization of premium that would impact pricing over time.

This calculator is provided only as a general self-help tool and does not provide any specific recommendation or advice. Results depend on many factors including the assumptions provided. To the extent permitted by law, Dwight excludes all warranties and liability for any loss or damage resulting from anything done (or not done) in reliance upon all or part of the information provided by this calculator.

 
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