Bond Risk Calculator

Estimate bond sensitivity, price moves, and loss exposure. Compare scenarios with practical metrics and exports. Built for smarter portfolio reviews and cleaner credit insights.

Calculator Inputs

Enter bond terms, rate stress assumptions, and simple credit inputs. Results will appear above this form after you submit.

Principal amount repaid at maturity.
Use 0 for a zero coupon bond.
This drives the present value discounting.
Fractions are rounded to the nearest payment period.
Used for pricing, duration, and convexity.
Parallel risk-free rate move in basis points.
Additional spread widening or tightening.
Used in expected credit loss estimation.
A simple annualized default assumption.

Example Data Table

This sample shows how the calculator behaves for a plain vanilla fixed coupon bond under a combined rate and spread shock.

Face Value Coupon Rate YTM Years Frequency Combined Shock Price Modified Duration Convexity DV01 Exact Shock Price Expected Credit Loss
1,000.00 5.25% 6.10% 6.00 2 90 bps 957.82 5.0494 30.3042 0.4836 915.45 52.02

Formula Used

1) Bond Price

Price = Σ [CFt / (1 + y / m)t], where cash flows include coupon payments and principal, y is yield, and m is payments per year.

2) Macaulay Duration

Macaulay Duration = Σ [(t / m) × PV(CFt)] / Price. It measures the weighted average time to receive discounted cash flows.

3) Modified Duration

Modified Duration = Macaulay Duration / (1 + y / m). It estimates the percentage price change for a small yield move.

4) Convexity

Convexity = Σ [t(t + 1) × PV(CFt)] / [Price × (1 + y / m)2 × m2]. It improves the duration estimate for larger shocks.

5) DV01

DV01 = Modified Duration × Price × 0.0001. It approximates the dollar change in price for a one basis point yield move.

6) Duration and Convexity Estimate

ΔP / P ≈ -DmodΔy + 0.5 × Convexity × (Δy)2. This gives a second-order approximation of shocked price.

7) Expected Credit Loss

ECL = Face Value × (1 - Recovery Rate) × Horizon Default Probability, where Horizon PD = 1 - (1 - Annual PD)Years.

How to Use This Calculator

  1. Enter the bond face value, coupon rate, yield to maturity, maturity term, and payment frequency.
  2. Add the yield shock and spread shock you want to test. Positive values model higher required returns.
  3. Enter recovery rate and annual default probability to estimate a simplified credit loss over the maturity horizon.
  4. Press Calculate Bond Risk. The results appear above the form, directly under the page header.
  5. Review the core metrics, stress table, and price curve. Use CSV or PDF export for reporting and documentation.
  6. Interpret the tool as a decision aid. It assumes flat shocks, no embedded options, and no accrued interest adjustments.

FAQs

1) What does this calculator measure?

It estimates a bond’s price, duration, convexity, DV01, stress loss, and a simple expected credit loss. These metrics help you review rate sensitivity and downside exposure together.

2) What is DV01 in simple terms?

DV01 is the approximate dollar change in bond value for a one basis point move in yield. It is widely used to compare interest rate exposure across positions.

3) Why are both duration and convexity shown?

Duration gives a first-order estimate of price sensitivity. Convexity improves the estimate when shocks become larger, so the stressed value is more realistic for nontrivial rate moves.

4) Does this work for zero coupon bonds?

Yes. Set the coupon rate to zero. The tool will still price the bond, calculate duration and convexity, and estimate stress and credit loss metrics correctly.

5) What does spread shock mean here?

Spread shock represents additional yield change caused by credit spread widening or tightening. The calculator adds it to the yield shock and values the bond using the combined move.

6) Is the credit loss output a full credit model?

No. It is a simplified expected loss estimate using annual default probability, recovery rate, and maturity horizon. It does not replace a full transition, hazard, or spread-based model.

7) Why might the exact shock price differ from the duration estimate?

Duration is a linear approximation. Exact repricing discounts every future cash flow at the shocked yield, so the difference becomes larger when the move is big or the bond is long.

8) Are accrued interest and callable features included?

No. This page models a plain fixed coupon structure with clean pricing logic. Accrued interest, embedded options, sinking schedules, and floating coupon behavior are outside this version.

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Important Note: All the Calculators listed in this site are for educational purpose only and we do not guarentee the accuracy of results. Please do consult with other sources as well.