Bond Price Calculators

  • Bond Price Calculator
  • Bond Price Calculator (with convexity)
  • Convexity Effect Calculator

Bond Price Calculator

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.

Bond Price Calculator (with convexity)

Current Bond Price ($)
Duration of Bond (yrs.)
Convexity of Bond
Assumed Change in Interest Rates (in %)
Change in Bond Price
New Bond Price ($)
  • For bonds with convexity, the formula is as follows: % Change in Price = ((-Duration) * (% Change in Rates)) + (0.5 * Convexity * (% Change in Rates ^ 2))

Convexity Effect Calculator

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 convex bond suffers less price degradation than a bond with negative convexity.
    • When interest rates fall, a positively convex 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 convex 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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