Research Calculation Lab
Bond duration and convexity calculator
Estimate a bond-price response to a parallel yield change and compare duration-only with duration-convexity sensitivity.
-5.78%
Approximate price change
- Duration component
- -6.00%
- Convexity adjustment
- +0.23%
- Ending value (USD)
- $942,250
Compare yield changes.
| Yield change | Duration only | With convexity | Ending value |
|---|---|---|---|
| -200 bp | +12.00% | +12.90% | $1,129,000 |
| -100 bp | +6.00% | +6.22% | $1,062,250 |
| -50 bp | +3.00% | +3.06% | $1,030,562 |
| +0 bp | +0.00% | +0.00% | $1,000,000 |
| +50 bp | -3.00% | -2.94% | $970,562 |
| +100 bp | -6.00% | -5.78% | $942,250 |
| +200 bp | -12.00% | -11.10% | $889,000 |
The calculation
Approximate price change = -modified duration x yield change + 0.5 x convexity x yield change squared. Convert basis points to a decimal yield change by dividing by 10,000, then multiply the result by 100 for percent.
Read the worked methodWhat the result covers
This is price sensitivity, not a total-return forecast. It excludes coupon income, spread changes, defaults, optionality and rebalancing. Duration and convexity are held fixed even though their actual values change with yield.
Read the underlying guide