Portfolio Builder

Build a bond portfolio and see its aggregate characteristics: value, yield, duration, convexity, DV01, where it sits on the curve, and when its cash arrives.

Learning focus: portfolio duration is a value-weighted average but yields are not, and two portfolios with one duration can sit very differently on the curve.

Positions

Start from

Settlement

Templates use sample prices set from illustrative yields. Semiannual coupons, ACT/ACT. Edit any cell.

NameMaturityCoupon %FaceClean price

Market value

9,718,400

face 10,000,000

Cash-flow yield

5.018%

Weighted average yield

4.741%

Modified duration

8.523

Macaulay duration

8.74 yrs

Convexity

174.92

DV01

8,282.78

Average coupon

4.49%

Average maturity

15.64 yrs

Cash flows by year

Maturity buckets

Key rates

Treasury curve date

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Positions

Position	Market value	Weight	Yield	Mod. duration	DV01
2Y Treasury	4,985,800	51.3%	4.400%	1.897	945.61
30Y Treasury	4,732,600	48.7%	5.100%	15.503	7,337.16