Yield Duration and Convexity
Yield, duration, and convexity are the three metrics that define how a bond responds to changes in interest rates. These articles explain what each measure tells you, how they interact, and why understanding them is essential for managing interest rate risk in any fixed-income portfolio.
Using Futures and Swaps to Adjust Duration
Master the mechanics of adjusting portfolio duration with Treasury futures and interest rate swaps. Learn hedge ratio calculations, DV01 matching, and overlay strategies with worked examples.
Interpreting Steepeners and Flatteners
Master yield curve trades that profit from changing spreads between short and long rates. Learn DV01-neutral positioning, historical triggers, and when each strategy wins.
Breakeven Inflation and Real Yields
Decode what Treasury markets are saying about future inflation. Learn the breakeven formula, understand TIPS pricing, and spot when the signal becomes noise.
Effective Duration for Callable Bonds
Learn why modified duration fails for callable bonds and how effective duration captures embedded option risk. Master the calculation and avoid costly hedging errors.
Negative Convexity and Mortgage Securities
Why MBS prices cap gains when rates fall and extend losses when rates rise. Master the mechanics of prepayment risk and negative convexity for smarter fixed income allocation.
Barbell vs. Bullet Strategies Under Curve Shifts
Master how barbell and bullet portfolios perform differently under parallel shifts, steepeners, and flatteners. Includes worked examples with specific return calculations for each scenario.
Modified Duration and Price Sensitivity
Master the key formula connecting yield changes to bond prices. Learn modified duration math, avoid common estimation errors, and stress-test portfolios correctly.
Forward Rate Derivation from the Curve
Learn how to calculate forward rates from spot curves. Master the no-arbitrage formula, interpret what forward rates actually predict, and avoid the common mistakes that produce illogical results.
Dollar Duration and DV01 Basics
Learn how DV01 translates percentage duration into actual dollar gains and losses. Master the formula that bond traders use to size positions and hedge risk.
Understanding Treasury Yield Curve Shapes
Learn to read the yield curve's message about economic conditions, recession risk, and Fed policy. Master the four shapes that drive fixed income strategy.
Glossary: Yield and Duration Metrics
Essential definitions for yield, duration, and convexity terms used in fixed income investing. A quick reference covering 25 key metrics from YTM to DV01.
Key Rate Duration to Measure Curve Risk
Key rate duration measures sensitivity at specific yield curve points (2y, 5y, 10y, 30y), capturing non-parallel shift risk that effective duration misses. Essential for precise hedging and liability matching.
Duration Matching for Liability Immunization
Learn how to construct immunized portfolios that protect against interest rate risk. Master the mechanics of matching asset duration to liability duration with worked examples.
Nominal Yield, Current Yield, and Yield to Maturity
Learn when to use nominal yield, current yield, and YTM for bond comparisons. Master the math and avoid costly yield confusion in your portfolio.
Stress Testing Portfolios for Rate Shocks
Learn how to stress test bond portfolios using historical rate shocks from 1994, 2013, and 2022. Master parallel shifts, key rate duration analysis, and embedded option adjustments.
Yield to Call and Yield to Worst
Learn why yield to worst is your true planning yield for callable bonds, and how to avoid the costly mistake of chasing headline yields.
Convexity: Concept and Calculation
Convexity corrects duration estimates for large rate moves. Learn the formula, calculation, and why ignoring convexity on 100+ bps shocks creates 0.9%+ pricing errors.
Reporting Duration and Convexity in Fact Sheets
Learn to read and interpret duration and convexity metrics in bond fund fact sheets. Decode weighted averages, spot reporting gaps, and translate disclosed numbers into actionable risk estimates.
Macaulay Duration Calculation Walkthrough
Duration is the single number that separates bond investors who understand their risk from those who discover it the hard way. Silicon Valley Bank held $91 billion in held-to-maturity securities—mostly long-duration government bonds and mortgage-backed securities—and when the Fed hiked rates by 5...
Spot Curves vs. Par Curves
Master the difference between spot rates and par yields. Learn bootstrapping mechanics, pricing implications, and why using the wrong curve creates valuation errors.