Pro Tier Module
Bond Pricing & Yield (Duration / Convexity)
Exact fixed-income DCF: price, yield, duration, and convexity solved transparently in your browser.
See it run - a worked example, 100% in this browser tab
The problem
Fixed-income analysts need price, yield, duration, and convexity that reconcile to the standard formulas, but black-box tools hide the settlement convention and give no signal when long-maturity sums lose significance.
The local-first solution
This plugin computes exact discounted-cash-flow price and the closed-form duration and convexity on a coupon date, solves YTM and YTC with a safeguarded Newton iteration, and re-accumulates the duration and convexity sums through the GeoNum kernel for an honest conditioning signal. It surfaces the settlement convention and the figure solved for, and nothing is uploaded.
What it does
Exact DCF price from a market yield on a coupon date
Yield-to-maturity and yield-to-call solved by safeguarded Newton with a bisection fallback
Macaulay and modified duration in periods and years
Closed-form convexity in periods-squared and years-squared
Price-change estimate for a yield move using duration and convexity
GeoNum conditioning verdict on the duration and convexity sums
Honest scope
The DCF price, closed-form duration and convexity, and the numeric YTM and YTC solve are exact on a coupon date with standard periodic compounding; the market yield or target price is a dated input the plugin echoes back. Accrued interest and mid-period (dirty vs clean) settlement, day-count conventions, embedded-option (OAS) valuation, credit risk, taxes, and floating coupons are not modeled - verify against the prospectus and your day-count convention, and this is not investment advice.
Authorities cited
- Fabozzi, F. J. (ed.) (2012). The Handbook of Fixed Income Securities, 8th ed. McGraw-Hill. - Bond price as the present value of coupons + redemption; Macaulay & modified duration and convexity closed forms.
- Hull, J. C. (2018). Options, Futures, and Other Derivatives, 10th ed. Pearson, Ch. 4 (Interest Rates). - Bond pricing, duration as dP/(P dy), and the convexity correction dP/P = -D dy + 0.5 C dy^2.
- Tuckman, B. & Serrat, A. (2011). Fixed Income Securities: Tools for Today's Markets, 3rd ed. Wiley. - Yield-to-maturity definition and the price-yield relationship; semiannual bond-equivalent yield convention.
- Macaulay, F. R. (1938). Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields and Stock Prices in the United States since 1856. NBER. - Original definition of (Macaulay) duration as the cash-flow-weighted average maturity.
- Press, W. H. et al. (2007). Numerical Recipes, 3rd ed., Ch. 9 (Root Finding). - Safeguarded Newton-Raphson with a bisection bracket (rtsafe) for a monotone scalar root such as P(y) - P* = 0.
- CFA Institute (2024). Fixed Income: defining elements, the price-yield relationship, and the meaning of bond-equivalent (nominal, m-times-per-year compounded) yield used here.
Price a bond now
Run the analytics in the browser and route results into a Sandbox workspace, a Worklog case, or a Gate client portal. Nothing is uploaded to anyone's cloud.