Bond YTM
03 • .BONDNewton-Raphson exact solver. No approximations.
Newton-Raphson: Solves Price = Σ C/(1+y)^t + F/(1+y)^n for y. Iterates y₁ = y₀ − f(y)/f'(y) until Δ < 1e-9. DV01 = Modified Duration × Price × 0.0001.
YTM
4.82%
annualized
CURRENT YIELD
4.59%
coupon / price
MACAULAY
7.98y
weighted
MODIFIED
7.79y
price sens.
DV01
$7.64
per 1bp
Bond Price vs. Market Rates (−300bps to +300bps)
Shock scenarioCash-Flow Table
| Period | Cash Flow | PV | Weight |
|---|
What -1bp Means
Price if +100bps$910
Price if −100bps$1,057
Convexity benefit+$7.2
DV01 shows P&L per 1bp. A 10-yr bond has high duration: 1% rate rise → ~7.8% price fall. Use modified duration to hedge.