Price any fixed-coupon bond, see its duration and convexity, then hit a portfolio with a rate move. Yields start at today’s Treasury curve.
Enter a yield to get the price, or a price to get the yield. Everything else follows from the cash flows.
The copper curve is the real price. The dashed line is what duration alone predicts; the gap between them is convexity, and it always works in the holder’s favor.
Today’s value of each payment: coupons in copper, the face value at the end in grey. Duration is the average date, weighted by value.
Build a bond portfolio, then move the curve. The short and long ends can move separately, so you can test twists as well as parallel shifts.
Edit any cell. Coupons are paid twice a year.
Moves between 2 and 30 years are filled in on a straight line.
Parallel shifts from −300 to +500 bp. Dashed: duration alone.
Prices assume settlement on a coupon date, so there is no accrued interest. Yields are compounded at the coupon frequency. For education only, not investment advice.