Bond Volatility Calculator

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Bond Volatility Calculator – Fixed Income Tools – Multi-Tools

Bond Volatility Calculator

Calculate and analyze bond price volatility under different market scenarios. Evaluate interest rate sensitivity and historical volatility patterns.

Bond Details
Face value of the bond
Annual coupon rate
Time until bond matures
Current yield to maturity
Frequency of coupon payments
Annualized yield volatility
Scenario Settings
Statistical confidence level for VaR
Investment horizon for risk analysis
Yield change scenarios for stress testing
Correlation with market rates

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How to Use
  1. Enter bond details and market parameters
  2. Set confidence level and holding period
  3. Choose stress test scenario
  4. Specify rate correlation
  5. Click Calculate for volatility analysis

Key Terms:

  • • VaR: Maximum potential loss at confidence level
  • • Expected Shortfall: Average loss beyond VaR
  • • Beta: Sensitivity to market rate changes
  • • Volatility Ratio: Price volatility relative to yield

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