Fixed-Income Reference

Duration & Convexity

Compare exact repricing with duration, convexity and position-sized sensitivity.

Connect present-value-weighted payment timing to local yield sensitivity, with a transparent two-payment calculation.

Improve a duration estimate with a consistently defined second-order term, then measure the remaining error against exact repricing.

Translate a local percentage sensitivity into currency per basis point, with explicit position scaling and sign conventions.

Understand above-face prices, discount factors greater than one and rate sensitivity when the assumed nominal yield is below zero.