Yield Curve & Bond Duration Stress Simulator

This explainer traces fixed hypothetical yields in the saved simulator, not current Treasury rates or investment advice. Its thirty-year baseline yield is four point six five percent. A sixty-five basis point shock adds point six five percentage points, giving five point three percent. Both bars use eighty pixels per percentage point. A basis point is one hundredth of a percentage point, so the shock code divides basis points by ten thousand before pricing. The thirty-year source bond pays annual coupons of four point five percent and returns one hundred dollars par at maturity. Discounting every cash flow at the fixed four point six five percent yield gives ninety-seven point five nine nine dollars. Raising yield to five point three gives eighty-eight point one one two dollars. Both bars use five pixels per dollar. The exact price change is about minus nine point seven two percent. The source uses annual compounding rather than a full Treasury market convention. Modified duration in this source is about one point eight seven nine years for its two-year bond and sixteen point one one two for its thirty-year bond. Both bars use twenty-five pixels per year. This explains why equal small yield shocks move the long bond more: the first-order percentage response is minus modified duration times the decimal yield change. The code also calculates convexity, but its displayed price-impact field uses exact repricing. The approximation is computed locally but not returned as the displayed output.