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Bond Pricing Calculator

Professional bond pricing calculator with YTM, duration, convexity, and DV01. Three pricing methods, multiple day count conventions, and 2D stress testing for fixed-income analysis.

Capabilities
6 FEATURES
YTM
Yield to maturity with bisection solver
Duration
Modified & Macaulay via finite difference
Convexity
Second-order price sensitivity
DV01 / CS01
Rate and spread dollar sensitivities
Stress Testing
2D heatmap: rate x spread shocks
Day Count
30/360, ACT/360, ACT/365, ACT/ACT
Methodology

How It Works

Price bonds using three institutional-grade methods: All-in YTM for simple yield-based pricing, Curve+Spread for credit decomposition, or Pure Curve for zero-coupon discounting. Computes modified duration, convexity, DV01, CS01, and generates 2D stress heatmaps showing P&L under rate and spread shocks. Supports 30/360, Actual/360, Actual/365, and Actual/Actual day count conventions.

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