Description
Discount one cashflow before and after bump×keyRateWeight and return the PV change.
Risk and sensitivity terms depend on return units, horizon and model structure. A covariance contribution or local price approximation describes only part of a portfolio or instrument's risk and does not establish a safe investment.
Discount one cashflow before and after bump×keyRateWeight and return the PV change.
When to use this tool
Use Bond Keyrate One Cashflow Bump Term when you need one explicit risk or sensitivity term.
How to use the tool and how it works
- Enter cashflow, years, baseYield, bump, keyRateWeight. Use the units and conventions below.
- Run the tool. Correct any format, range, or cross-field input error before interpreting the output.
- Read basePv, bumpedPv, pvChange. Use the output convention below.
Require nonnegative years and annual effective base/bumped yields above -1. Discount one cashflow before and after bump×keyRateWeight and return the PV change.1
| Input field | Meaning and units | Accepted input |
|---|---|---|
| cashflow | Cashflow | Required. Finite number. |
| years | Years | Required. Finite number; minimum 0. |
| baseYield | Base Yield | Required. Finite number; strictly above -1. |
| bump | Bump | Required. Finite number. |
| keyRateWeight | Key Rate Weight | Required. Finite number. |
| Output field | Interpretation | Returned shape |
|---|---|---|
| basePv | Base Pv | Required. Finite number. |
| bumpedPv | Bumped Pv | Required. Finite number. |
| pvChange | Pv Change | Required. Finite number. |
{
"input": {
"cashflow": 110,
"years": 1,
"baseYield": 0.1,
"bump": 0.1,
"keyRateWeight": 1
},
"output": {
"basePv": 99.99999999999999,
"bumpedPv": 91.66666666666666,
"pvChange": -8.333333333333329
}
}Limitations and assumptions
- Bump is a rate fraction, not automatically basis points. This is one cashflow's finite bump, without a complete key-rate-duration normalization or yield-curve interpolation.
- Inputs must satisfy both the field types and the cross-field conditions above. Invalid input causes an error; a successful false flag or documented placeholder is a different result.
- Numeric calculations use binary floating point unless exact decimal-integer arithmetic is explicitly stated. No hidden measurement tolerance or decimal rounding is added; nonfinite or out-of-contract results are rejected. Numeric signed-zero results are exported as zero.
Alternative or Complementary methods
Use the complete portfolio or instrument model, including covariance consistency, nonlinear effects and scenario analysis. Verify scaling and estimation assumptions before interpreting a partial term as total risk.
References
Similar or alternative tools
- Duration Yield First Order Price Gap
Apply -price×modifiedDuration×yieldChange and optionally half×price×convexity×yieldChange²; add terms to price.
- Discount Factor Log Derivative Term
Return exp(-rate×time) or (1+rate)^(-time), and derivative of log discount with respect to rate as -time or -time/(1+rate).