Bonds
7 tools in the Investing area.
Bond Price and Yield
Price of a fixed-coupon bond from its yield to maturity, or the yield from its price, with every step shown: the coupon, the discounted cash flows, current yield, duration, convexity and the price change for a one-point move in yield. Advanced inputs add accrued interest with clean and dirty price, yield to call and yield to worst. A calculator for education and analysis, not investment advice.
1 worked example reproduced, listed on the tool page.
Yield Curve and Forward Rates
Turns a par yield curve into spot (zero-coupon) rates, discount factors and implied forward rates, step by step. Enter a few maturities and par yields, such as the daily U.S. Treasury par yield curve; the page interpolates to every coupon date, bootstraps the spot rates with the first two steps written out, and computes the forward rate between any two dates and the usual slope measures. A calculator for education and analysis, not investment advice.
1 worked example reproduced, listed on the tool page.
Bond Ladder
Build a ladder of bonds or CDs that mature one after another. Enter the amount, the number of rungs, the first maturity, the spacing and a yield for each rung; the page lays out the ladder step by step: the face amount and yearly interest of each rung, the weighted-average yield and average maturity, the ladder's duration, a year-by-year calendar of interest and principal, and what happens when each matured rung is rolled into a new longest rung at unchanged and at shifted yields. Advanced mode adds equal-income rungs, a tax rate, inflation and a comparison with putting everything in the shortest or the longest rung. A calculator for education and analysis, not investment advice.
1 worked example reproduced, listed on the tool page.
Credit Spread and Default Risk
What a bond's yield spread says about default. Enter the bond's yield, the risk-free yield of the same maturity, the maturity and a recovery rate; the page works out the credit spread, the yearly default probability the spread implies (the rule of thumb spread = hazard rate times loss given default, then the exact one-year and constant-hazard forms), the cumulative default probability to maturity with its survival curve, and a table across recovery rates. These are risk-neutral probabilities: they include a premium for bearing risk and so overstate how often such bonds have actually defaulted. Advanced mode adds the Merton model (asset value and volatility solved from the share value and its volatility, distance to default, default probability, implied spread), the price of a risky coupon bond from a flat hazard rate or the hazard rate from a price, and interest coverage and leverage. A calculator for education and analysis, not investment advice.
1 worked example reproduced, listed on the tool page.
Callable Bond and OAS
Values a callable bond on a binomial interest-rate tree, step by step. The tree (lognormal short rate with constant volatility) is fitted to a flat yield or a par yield curve so that every zero-coupon bond reprices; the bond is then valued backwards with the issuer calling whenever that is cheaper. The page shows the straight-bond value, the callable value, the value of the call option, yields to call, maturity and worst, and effective duration and convexity. Advanced inputs add the option-adjusted spread for a market price, a call schedule and a putable bond. A calculator for education and analysis, not investment advice.
1 worked example reproduced, listed on the tool page.
Convertible Bond
Values a convertible bond step by step: a bond the holder may exchange for a fixed number of shares. The page shows the conversion value and parity, the bond floor (the same bond without the conversion right, discounted at the risk-free rate plus the credit spread), the value of the convertible on a binomial tree of the stock price with the holder converting whenever that is worth more, the value of the conversion option, the conversion premium and the sensitivity to the stock, with the classic diagram of value, floor and parity against the stock price. Advanced inputs add an issuer call with a soft-call trigger, a holder put, a dividend yield, the number of tree steps, and the volatility or credit spread implied by a market price. A calculator for education and analysis, not investment advice.
1 worked example reproduced, listed on the tool page.
Bond Immunization
Match bonds to a payment you owe in the future so that a change in interest rates moves both by the same amount. Enter the payment, its date, one yield and two bonds; the page shows step by step the payment's present value and duration, each bond's price, duration and convexity, the two equations that give the mix with the same present value and duration, the money in each bond, what is left over after yields move one or two points compared with holding a single bond or a zero-coupon bond, and how the match drifts after a year. Advanced mode adds a third bond to match convexity, several payments with cash-flow matching at least cost, a steepening of the yield curve and key-rate durations. A calculator for education and analysis, not investment advice.
1 worked example reproduced, listed on the tool page.
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