Duration & Convexity Calculator
Calculate duration, modified duration, convexity, and price sensitivity metrics
Coming Soon
This calculator will provide comprehensive bond risk metrics including:
- Macaulay Duration - weighted average time to receive cash flows
- Modified Duration - price sensitivity to yield changes
- Convexity - curvature of price-yield relationship
- DV01 - dollar value change per 1 basis point yield move
- PV01 - present value change per 1 basis point yield move
Why Duration Matters
Duration is the key measure of interest rate risk. A bond with 5 years duration will lose approximately 5% in value if yields rise by 1%. Convexity refines this estimate by accounting for the curved price-yield relationship. Together, these metrics help portfolio managers hedge interest rate risk and position portfolios for different rate scenarios.
Implementation Details
The calculator will use the existing bond-calculations.ts library which already includes:
// Duration formula (using decimal.js for precision)
Duration = Σ(t × PV(CFt)) / Price
where t = time period, CFt = cash flow at time t
The interface will allow users to input bond parameters or select from existing bonds in the database.