Total Horizon Return
Sum of all return components over the holding period.
Total horizon return combines carry, principal repaid (paydown), roll-down, price effect, and reinvestment returns to give the all-in return from holding and selling a bond at the horizon. It's expressed as a percentage of the initial investment (dirty price × notional).
- Horizon date is on or before bond maturity
- Bond is sold at horizon at market price
- Yield change is a parallel shift
- Coupons AND repaid principal are reinvested at the specified rate until horizon — a user assumption, not a market forward
- Prices are quoted per 100 of ORIGINAL face, so an amortiser's horizon price reads below its current-face market quote
Horizon Analysis
Projects bond returns for a holding period shorter than maturity.
Yield to Maturity (YTM)
The annualized return if you hold the bond to maturity, assuming all coupons are reinvested at the same rate.
DV01
Dollar change in value for a 1 basis point (0.01%) yield move.
Modified Duration
Measures the percentage price change for a 1% yield change.
Current Yield
Annual coupon income divided by the bond's clean price.
Running Yield
Annual coupon income divided by the bond's dirty price (clean price plus accrued interest).