Bond Parameters
Bond Price
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Macaulay Duration
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Modified Duration
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Dollar Duration
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Effective Duration
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Key Rate Duration
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Cash Flow Timeline
Duration Risk Analysis
Enter bond parameters to see duration analysis...
Convexity & Price Sensitivity
Analyze price sensitivity, convexity effects, and DV01 calculations.
Convexity Metrics
Convexity: --
Modified Convexity: --
Dollar Convexity: --
DV01 Analysis
DV01: --
PV01: --
Basis Point Value: --
Price Sensitivity
1% Rate Rise: --
1% Rate Fall: --
Asymmetry: --
Spread Duration
Spread Duration: --
Credit Duration: --
OAS Duration: --
Price-Yield Curve
Convexity Adjustment Calculator
Portfolio Duration Management
Analyze and manage portfolio-level duration metrics.
Portfolio Duration Distribution
Duration Contribution Analysis
Short (0-3Y)
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Medium (3-7Y)
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Long (7-15Y)
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Ultra-Long (15Y+)
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Duration Immunization
Liability Matching Setup
Duration Gap Analysis
Asset Duration: 7.5 years
Liability Duration: 5.0 years
Duration Gap: 2.5 years
Gap Risk: Moderate
Immunization Tracking
Interest Rate Scenarios
Rate Shock Scenarios
Parallel Shift (+100bp): -7.2%
Parallel Shift (-100bp): +7.8%
Steepening: -3.1%
Flattening: +2.3%
Twist: -1.5%
Key Rate Duration Analysis
2-Year KRD: 0.5
5-Year KRD: 1.2
10-Year KRD: 3.8
30-Year KRD: 1.5