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FAMILY OFFICE · THE BOND-PRICE-IS-SENSITIVE-TO-RATES TOOL

If rates move 100 basis points, what happens to this bond's price? Duration tells you. Convexity refines it.

Duration is the weighted-average time you wait for the bond's cash flows — and it doubles as the first-order estimate of price sensitivity to interest rates. Convexity is the second-order correction. Together they tell you, with reasonable precision, how much money you make or lose if the 10-year Treasury moves 25, 50, or 100 basis points. This tool computes Macaulay duration, modified duration, dollar duration, and convexity, then runs the price-shock scenarios.

3 durations
Macaulay / Modified / Dollar
Convexity
Second-order term
+/- 100bps
Five rate-shock scenarios
CF table
Full weighted-time build

Bond inputs

If you don't know YTM, use the Bond Yield Calculator first, then bring the YTM here.
$
%
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If the bond trades at par, YTM equals coupon rate. If at a discount, YTM > coupon. If at premium, YTM < coupon.
Used to scale the dollar-duration and the rate-shock scenarios to your actual position size.
WANT THE METHODOLOGY BEHIND THIS TOOL?
Read more in the Family Office Reference.
The tool gives you the answer. The guide gives you the argument — the case law, the worked examples, the negotiation playbook, the cross-check tables, the exception cases.
The methodology behind this calculator is in First Principles Guide + CFO Guide (debt management, ALM) of the reference guide.
Read more in the Family Office Reference → Browse all 22 guides
Educational references and tools — not legal, tax, accounting, or investment advice, and not a recommendation to buy or sell any security. Consult a qualified professional about your specific situation. © 2026 The Baratelli Institute.