The dollar duration, or DV01, of a bond is a way to analyze the change in monetary value of a bond for every 100 basis point move.

I have a report that prices bonds in the old tick format (i.e 101-10 for 101 and 10/32nds). When in that format, the following formula works great and provides the correct price: ...

The Formula for Convexity Adjustment Is ... It is measured in years and estimates the percent change in a bond’s price for a small change in the interest rate.

In the early 1980s, the change from a downtrend to an uptrend took several years. These days we see a confirmation that a major trend change is happening now, after bond prices peaked four years ago.

Equally, if new bonds are issued with a lower interest rate than bonds currently on the market, the price of existing bonds will increase in line with demand. The degree to which a bond’s price will ...