Tool · 16
Bond Price and Yield
Price from yield, yield from price, duration and convexity, and a price against yield curve you can drag along.
The bond
Price and risk
What a one point move does
| Yield move | Duration alone | With convexity | Exact reprice |
|---|---|---|---|
| Up 1.00% | -$26.24 | -$25.75 | -$25.76 |
| Down 1.00% | $26.24 | $26.72 | $26.73 |
Duration on its own overstates the loss and understates the gain, by the same amount in both directions. Adding the convexity term closes most of the gap to the exact answer. That asymmetry is a real feature of owning bonds, not a rounding artifact.
Price against yield
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Price at each yield, as a table
| Yield | Price |
|---|---|
| 0.0% | $1,150.00 |
| 1.6% | $1,098.82 |
| 3.2% | $1,050.72 |
| 4.8% | $1,005.47 |
| 6.4% | $962.85 |
| 8.0% | $922.69 |
| 9.6% | $884.79 |
| 11.2% | $849.02 |
| 12.8% | $815.20 |
| 14.4% | $783.22 |
Go the other way
Type a price and this solves for the yield by bisection, which is what a calculator does because there is no closed form.
Read the topic
Read how bonds are priced →