A clearer view of price and risk.
Change the assumptions. See the arithmetic. Explore a plain fixed-rate bond without a live data feed.
Price at alternative yields
The method, in plain sight.
Price is the sum of discounted coupon payments and principal: P = Σ [C / (1 + y/m)t] + F / (1 + y/m)N. F is face value, C = F × coupon / m, y is the annual nominal yield, m is payments per year, and N = years × m.
The scenario assumes valuation exactly on a coupon date, so accrued interest is zero and clean price equals dirty price. The model uses whole years and equal coupon periods. Modified duration is the cash-flow-weighted average time divided by (1 + y/m). DV01 is price × modified duration × 0.0001, a local approximation for a one-basis-point yield move. The stressed price is fully repriced at the entered yield plus the shock, rather than estimated from duration.
Defaults, calls, floating coupons, day-count conventions, taxes, fees, reinvestment and credit-spread changes independent of the entered yield are excluded. Outputs do not describe a specific security or a tradable quote. The chart shows three discrete scenarios, not a historical series or forecast.
Background: RBA: bonds and the yield curve.