Calculator Inputs
Example Data Table
| Item | Sample Value | Item | Sample Value |
|---|---|---|---|
| Pricing Basis | Yield to Maturity | Face Value per Bond | 1,000 |
| Coupon Rate | 5.00% | Yield to Maturity | 4.20% |
| Payments per Year | 2 | Remaining Periods | 10 |
| Accrued Interest per 100 | 1.10 | Quantity | 25 |
| Dirty Price per 100 | 103.5743 | Clean Price per 100 | 102.4743 |
| DV01 per 100 | 0.045612 | Position DV01 | 11.402893 |
| Modified Duration | 4.403753 | Effective Convexity | 22.860720 |
Formula Used
Dirty Price per 100 = Σ [ Cash Flowt / (1 + y / m)t ]
Clean Price per 100 = Dirty Price − Accrued Interest
DV01 per 100 = [ Price(y − 1 bp) − Price(y + 1 bp) ] / 2
Position DV01 = DV01 per 100 × Face Value × Quantity / 100
Macaulay Duration = Σ [ Time × Present Value of Cash Flow ] / Dirty Price
Modified Duration = Macaulay Duration / (1 + y / m)
Effective Convexity = [ Pdown + Pup − 2P ] / [ P × (Δy)2 ]
This calculator uses repricing rather than a single shortcut ratio. That approach is practical for coupon bonds because it captures the exact cash flow schedule, coupon frequency, accrued interest, and the price effect of a one-basis-point yield move.
How to Use This Calculator
- Select whether you want to price the bond from yield or from clean price.
- Enter face value, coupon rate, payment frequency, and remaining coupon periods.
- Add accrued interest per 100 for settlement-aware clean and dirty pricing.
- Enter quantity to convert per-100 risk into total position DV01.
- Set a custom shock size to inspect larger scenario price changes.
- Click calculate to view DV01, duration, convexity, prices, and scenario changes.
- Use the CSV or PDF buttons to export the calculated output.
FAQs
1) What is DV01?
DV01 is the value change from a one-basis-point yield move. It shows how much a bond or position may gain or lose when rates shift slightly.
2) Why does the calculator use dirty price?
Dirty price includes accrued interest and represents full settlement value. Repricing from dirty price keeps DV01, duration, and scenario outputs internally consistent.
3) What is the difference between DV01 and duration?
Duration is a relative sensitivity measure. DV01 converts that sensitivity into currency terms, making it easier to size risk across actual bond positions.
4) Can I start from market price instead of yield?
Yes. Choose clean price mode, enter the clean price, and the calculator solves the implied yield before computing DV01 and related measures.
5) Why does quantity matter?
Per-100 DV01 is useful for comparison. Quantity converts that unit sensitivity into total portfolio risk, which matters for hedging and position sizing.
6) What does convexity add?
Convexity measures how duration changes as yield changes. It improves estimates when rate moves are larger than one basis point.
7) Why can clean price differ from dirty price?
Clean price excludes accrued interest. Dirty price adds accrued interest, reflecting the actual cash paid at settlement between coupon dates.
8) Is this suitable for callable or floating-rate bonds?
This version is best for standard fixed-rate bonds with known cash flows. Bonds with embedded options or floating coupons need more specialized models.