Description
Apply -price×modifiedDuration×yieldChange and optionally half×price×convexity×yieldChange²; add terms to price.
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.
Apply -price×modifiedDuration×yieldChange and optionally half×price×convexity×yieldChange²; add terms to price.
When to use this tool
Use Duration Yield First Order Price Gap when you need one explicit risk or sensitivity term.
How to use the tool and how it works
- Enter price, modifiedDuration, yieldChange, convexity, includeConvexity. Use the units and conventions below.
- Run the tool. Correct any format, range, or cross-field input error before interpreting the output.
- Read durationChange, convexityChange, estimatedPrice. Use the output convention below.
Require positive price. Apply -price×modifiedDuration×yieldChange and optionally half×price×convexity×yieldChange²; add terms to price.1
| Input field | Meaning and units | Accepted input |
|---|---|---|
| price | Price | Required. Finite number; strictly above 0. |
| modifiedDuration | Modified Duration | Required. Finite number. |
| yieldChange | Signed rate fraction; 0.0001 means one basis point. | Required. Finite number. |
| convexity | Convexity | Required. Finite number. |
| includeConvexity | Include Convexity | Required. Boolean. |
| Output field | Interpretation | Returned shape |
|---|---|---|
| durationChange | Duration Change | Required. Finite number. |
| convexityChange | Convexity Change | Required. Finite number. |
| estimatedPrice | Estimated Price | Required. Finite number. |
{
"input": {
"price": 100,
"modifiedDuration": 5,
"yieldChange": 0.01,
"convexity": 30,
"includeConvexity": true
},
"output": {
"durationChange": -5,
"convexityChange": 0.15,
"estimatedPrice": 95.15
}
}Limitations and assumptions
- Yield change is a fraction, not basis points. Duration and convexity must match its convention; this is a local approximation and may produce negative estimated prices for unsuitable inputs.
- 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
- Bond Keyrate One Cashflow Bump Term
Discount one cashflow before and after bump×keyRateWeight and return the PV change.
- 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).