BOND PRICE & CONVEXITY CALCULATORS

Investment Strategies

Bond Markets & Research


Bond Price Calculators

Duration of Bond (yrs.)
Convexity of Bond
Assumed Change in Interest Rates (in %)


Change in Bond Price

  • CONVEXITY, along with effective duration, helps to explain the effect of interest rate changes on the price of a bond. Using the calculator below, note the following:
    • When interest rates rise, a positively convexed bond suffers less price degradation than a bond with negative convexity.
    • When interest rates fall, a positively convexed bond appreciates in price more than a bond with negative convexity.
  • These effects, however, are very dependent upon the level and volatility of rate movements. For smaller moves and reduced volatility, the higher yields typically associated with negatively convexed bonds such as mortgage-backed securities will often compensate the investor for price losses.

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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