Work out interest rate sensitivity instantly with clear inputs, formula shown and shareable results.
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.
Price sensitivity
ΔV/V ≈ -D_mod × Δy + ½ × C × Δy²
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.
Beyond roughly 50 basis points the duration-only estimate drifts noticeably from the true repricing.
Yes, using value-weighted average duration and convexity, provided the rate shift is parallel.