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Interest Rate Sensitivity Calculator

Work out interest rate sensitivity instantly with clear inputs, formula shown and shareable results.

About Interest Rate Sensitivity Calculator

Rate sensitivity combines a first-order duration effect with a second-order convexity correction. For treasury portfolios with long duration, ignoring convexity materially overstates losses on large upward rate moves.

Formula

Price sensitivity

ΔV/V ≈ -D_mod × Δy + ½ × C × Δy²

Worked example

With the default values below, Interest Rate Sensitivity Calculator returns Change In Portfolio Value of -$16,293,750.00. Change any input above and every figure here is recalculated in your browser.

Inputs used

Portfolio Valueminimum 0
400,000,000
Modified Durationaccepts 0–40
5.6
Rate Change In Basis Pointsaccepts -1,000–1,000
75
Convexityaccepts 0–800
45

Results

Change In Portfolio Value
-$16,293,750.00
Estimated New Value
$383,706,250.00
Duration Effect
-4.2000%
Convexity Adjustment
0.1266%

Step by step

  1. 1Values used
  2. 2Price sensitivity
  3. 3Change In Portfolio Value= -16,293,750.00
  4. 4Estimated New Value= 383,706,250.00
  5. 5Duration Effect= -4.2000
  6. 6Convexity Adjustment= 0.1266

Assumptions and limits

  • The result is derived only from the 4 inputs listed above. Anything not among them is not part of the calculation.
  • In particular, this calculator does not take inflation, tax, fees or charges or compounding frequency into account.
  • Figures are rounded for display to 4 decimal places, so totals built from several rounded parts can differ slightly from the unrounded arithmetic.
  • Figures are estimates based on the inputs given. Bank charges, regulatory minima and market rates change and differ between institutions and jurisdictions. This is not financial advice — confirm with your bank or treasury policy.

How these calculators are built and tested is described on the Methodology page. If a figure looks wrong, please report it.

Figures are estimates based on the inputs given. Bank charges, regulatory minima and market rates change and differ between institutions and jurisdictions. This is not financial advice — confirm with your bank or treasury policy.

Frequently Asked Questions

How large a move needs the convexity term?

Beyond roughly 50 basis points the duration-only estimate drifts noticeably from the true repricing.

Does this work for a whole portfolio?

Yes, using value-weighted average duration and convexity, provided the rate shift is parallel.

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