Build a portfolio of Treasuries and corporate bonds, then bend the yield curve and widen credit spreads. Every payment is repriced at the curve on its own date, so twists and humps show up bond by bond.
Edit any cell. Coupons are paid twice a year; yields start at today’s Treasury curve plus the market spread for each type.
Pick a scenario or set the curve yourself: level moves every maturity, slope tilts the long end against the short, curvature lifts the middle.
Today, dashed; after the move, copper. Dots mark the four key maturities.
Full repricing, split into the part from Treasury yields and the part from credit spreads.
Key-rate exposure at 2, 5, 10 and 30 years.
Every coupon and principal payment, by year.
Share of market value.
Asset-liability matching: a future payment is a short position in a bond, so it has a duration too.
The Treasury curve is the daily constant-maturity curve from FRED, used as a discount curve with straight lines between maturities. Spreads are the ICE BofA investment-grade and high-yield averages; real bonds trade at their own spreads, so enter a bond’s actual yield if you know it. A bond fund can be entered as one bond at its average maturity and yield. Settlement is on a coupon date. For education only, not investment advice.