Definitions

Coupon divided by current clean price (approx carry).

Running yield is the annual coupon divided by the bond’s clean price. It’s a quick carry proxy and does not include pull-to-par, roll-down, reinvestment, or credit/rates changes.

Discount rate that matches PV of cashflows to price.

YTM is the single discount rate that equates the present value of all future cashflows (coupons + principal) to the bond’s price. It assumes holding to maturity and reinvesting coupons at the same yield.

Price including accrued interest.

Dirty price includes accrued interest since the last coupon date. Settlement is typically at dirty price; clean price is quoted, then accrued is added to get dirty.

Quoted price excluding accrued interest.

Clean price is the quoted bond price excluding accrued interest. Clean + accrued interest = dirty price.

Coupon earned since last coupon date (per 100).

Accrued interest is the portion of the next coupon that has accrued since the previous coupon date up to settlement (based on day count convention).

Coupon earned since last coupon date (per 100).

Accrued interest is the portion of the next coupon that has accrued since the previous coupon date up to settlement (based on day count convention).

P&L for a 1bp move in yield (rates risk).

DV01 (Dollar Value of 01) is the approximate change in price/market value for a 1 basis point (0.01%) increase in yield. Higher DV01 means more sensitivity to rates moves.

P&L for a 1bp move in credit spread.

CS01 is the approximate change in price/market value for a 1 basis point widening in credit spread, holding the underlying curve constant. It’s most meaningful when you model price as curve + spread.

Approx % price change per 1% yield change.

Modified duration measures first-order sensitivity of price to yield: ΔP/P ≈ −ModDur × Δy. It’s most accurate for small yield moves.

Second-order curvature of price vs yield.

Convexity captures how duration changes as yields change. It improves price change estimates for larger moves: ΔP/P ≈ −Dur×Δy + 0.5×Conv×(Δy^2).

Estimated position value from clean price × notional.

Market value is the approximate value of a bond position using clean price × notional. It typically excludes accrued interest unless you explicitly use dirty price.

Annual coupon income before funding/hedges/taxes.

Carry is the expected coupon income over a year from the bond position, before funding costs, hedging costs, taxes, or mark-to-market effects.

The bond’s stated annual interest rate on face value.

Coupon is the annual interest rate applied to the bond’s face value, paid according to the coupon schedule (e.g., semiannual).

Simple duration-based estimate for a +100bp move.

This stress metric estimates P&L for a parallel +100bp yield shock using duration only. It ignores convexity and non-parallel curve moves, so it’s a quick first-pass risk indicator.