FICC • Rates • Bond Quant

Interactive interest-rate bond P&L dashboard

Explore how duration, convexity, yield changes, and maturity shape the estimated P&L of a fixed-income rates bond position.

中文：用交互方式理解久期、凸性、收益率变化和期限结构，如何共同影响一笔固收利率债头寸的估算 P&L。

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Position Notional10.00bn RMB

Yield Change-10 bps

Total Estimated P&L386.84mn RMB

30Y Modified Duration21.02

Scenario Input

Configure the rate shock

Position NotionalDefault: 10 billion RMB face-value positionYield ChangeNegative means rate cut. Positive means rate hike.Coupon RateAnnual coupon rate, expressed as percent.Initial Yield to MaturityFlat initial YTM assumption, expressed as percent.

P&L Chart

Estimated P&L by maturity

Risk Sensitivity

Duration and convexity by maturity

Scenario Table

Duration, convexity, and estimated P&L

Maturity	Price	Macaulay Duration	Modified Duration	Convexity	Price Change	Estimated P&L
1Y	100.000	0.994	0.982	1.451	0.0982%	9.82mn RMB
3Y	100.000	2.909	2.873	9.829	0.2878%	28.78mn RMB
5Y	100.000	4.731	4.673	24.910	0.4685%	46.85mn RMB
10Y	100.000	8.910	8.800	87.670	0.8843%	88.43mn RMB
30Y	100.000	21.280	21.017	556.483	2.1296%	212.96mn RMB

Fixed Income Logic

Why price rises when yield falls

A bond price is the discounted value of future cash flows. When yield falls, the discount rate is lower, so the present value of future coupons and principal rises.

Duration

Why long maturity is more sensitive

Longer maturity bonds place more value in distant cash flows. Their present value is more exposed to yield changes, so modified duration usually rises with maturity.

Convexity

Why the curve is not a straight line

Duration is a first-order approximation. Convexity adds second-order curvature and becomes more important when the yield shock is larger.