GuideTool 02 · 31 models

How to read
the bond
pricing tool.

A working guide. What every input means, why day-count matters, how the curve is pasted, and what the yield/maturity sensitivity grid is telling you. Read it once, then keep it open in a tab while you price.

Open the tool →

The thirty-second workflow

Three steps. Pick a model from the index on the left, or open the palette with Cmd K (Ctrl K on Windows). Set your bond in the ledger: face, coupon, frequency, settlement, maturity, day-count, plus whichever side of price↔yield you have. Read the headline, the risk block, and the sensitivity grid on the right.

The ledger only surfaces the inputs the active model uses. Switching from a YTM solver to a Z-spread surfaces the curve textarea without losing the bond you already typed.

Every input mutates the URL. Copy the address bar to share a setup, or use the permalink button under Model notes.

Inputs, by group

Inputs are grouped by purpose. Bond basics apply to almost every model. The other groups appear only when a model needs them.

Bond basics

Solve for: Whether the headline should report price or yield. The ledger keeps both fields available; the toggle decides which is the unknown.
Face value: Par amount. The default 100 means every quoted price is per 100 face.
Coupon rate: Annualized, decimal. 0.04 is a 4 percent coupon.
Coupon frequency: Annual, semi, quarterly, or monthly. US Treasuries are semi; eurobonds are annual.
Settlement date: The day cash changes hands. T+1 for Treasuries, T+2 for most corporates.
Maturity date: Final redemption date. ISO format (YYYY-MM-DD).
Day count: 30/360, ACT/ACT, ACT/360, ACT/365. Wrong day-count is the most common credibility-loss in a quote. ACT/ACT is the US Treasury standard; 30/360 is US corporates; ACT/360 is money market; ACT/365 is gilts.

Pricing

Clean price: Per 100 face, ex-accrued. The number that appears on a quote.
Yield: Decimal, compounded at the input frequency. 0.045 = 4.5%.

Curve

Curve: Paste as text: 1Y:4.5; 2Y:4.6; 5Y:4.4; 10Y:4.2. Rates above 1 are read as percent; below 1 as decimal. Supports d/w/m/y tenor suffixes.
Spread add-on: Parallel bp added to every curve point. Optional starting bias when solving spreads.
Benchmark yield: Used when no curve is pasted but the model needs a single reference yield.
Swap yield: Reference swap rate for the par-equivalent asset-swap calculation.

Optionality (callable / putable)

Call schedule: Paste as 2028-06-03:102; 2030-06-03:101. Each entry is a date and the call price.
Put schedule: Same format as the call schedule. Investor exercises max(continuation, put strike).
Short-rate vol: Volatility of the modeled short rate. Hull–White takes a normal vol (decimal of a rate); BDT takes a lognormal vol. Use 0.01–0.02 for HW Treasuries, 0.10–0.25 for BDT.
Mean reversion a: Hull–White mean-reversion speed. Around 0.05 is typical.

Floaters

Index curve: Projection curve for forward rates. Same paste format as the discount curve.
Quoted margin: Spread to the index quoted on the FRN, in basis points.

Inflation linkers

Real yield: Yield on a TIPS-style bond, in decimal.
Nominal yield: Yield on the matched nominal Treasury, in decimal. The two together produce a breakeven inflation rate.

Treasury futures basis

Conversion factor: The CME conversion factor for the deliverable. Auto-computed from coupon and maturity when blank.
Futures price: Quoted contract price per 100 notional.
Repo rate: Annualized financing rate to the delivery date, decimal.
Days to delivery: Calendar days from settlement to the futures delivery date.

Method (trees)

Tree steps: Time slices on the short-rate trinomial. 120 is a fine default. More steps means slower compute and smoother convergence.

Reading the headline

The large number in the Output panel is whatever the active model solves for. For a YTM solver, that is yield in pct/yr. For a price-from-yield, it is a clean price per 100 face. For a Z-spread model, it is a basis-point spread to the pasted zero curve.

The header tells you what unit to read the number in. The Note line carries model-specific context (for instance, callable OAS prints the straight bond value, the callable value, and the option value embedded between them). When a Note is present, read it first.

Reading the risk block

The Risk section shows whatever the active model produced. Empty rows mean the model does not emit that field; they are hidden rather than shown as dashes to keep the panel tight.

Macaulay durationCashflow-weighted average time to receipt. Same units as years. The price elasticity sense lives in modified duration.

Modified durationMacaulay ÷ (1 + y/freq). The percentage price drop per 1 unit increase in yield. Multiply by 100 to read it per percent.

Effective durationNumerical reprice under ±25 bp. Survives optionality (callables, putables) that the analytic form ignores.

DV01 / PV01Dollar value of a 1-bp move. Reported per 100 face. For a $10M position you scale by face × 100,000.

ConvexitySecond derivative of price w.r.t. yield, normalized by price. The slope of duration. Larger convexity benefits the holder under large yield moves in either direction.

Effective convexityNumerical counterpart to effective duration. The right metric for callables; for a vanilla bond the two should match.

Key-rate durationsSensitivity to a tent-shaped 25-bp shock at each standard tenor (2y, 5y, 10y, 30y). The sum should approximate effective duration.

Reading the sensitivity grid

The Sensitivity grid is a 7 by 5 panel. The X-axis is yield shift in basis points (default) or short-rate vol (for callable models). The Y-axis is time to maturity, ±2 and ±5 years around the input. Each cell re-runs the active model with the row and column values substituted in, holding everything else fixed.

Shading is tonal (ink only, no color). Darker cells are higher values. The footer prints the grid min and max so you can read the dynamic range.

What to look for

Yield row, price model. Prices should fall as yields rise. The slope is duration; the curvature is convexity.
Yield row, spread model. Spreads should rise roughly one-for-one with parallel yield bumps when the bond has no optionality.
Maturity column. Longer-dated bonds carry more duration. The grid makes the slope of "risk in years" visible.
Vol axis (callables). Higher short-rate vol raises the option value and lowers the callable bond price. The OAS column should be roughly flat in vol; the price column should fall.
Dashes in a cell. Means the model failed to converge under those shocks. Tighten the curve, lower the tree steps, or switch models.

Model families at a glance

The full index sits behind the Search models button (Cmd K). The seven families, in one line each:

Plain vanilla: YTM solver, price from yield, accrued interest, clean ↔ dirty. Newton-Raphson on the PV-of-cashflows function. Day-count respected.
Risk metrics: Macaulay, modified, effective duration, DV01, convexity. Analytic where the closed form is clean; bumped where optionality lurks.
Curve-based: Z-spread, I-spread, asset-swap spread, key-rate durations against a pasted zero curve.
Curve construction: Bootstrap from par yields, Nelson-Siegel, Nelson-Siegel-Svensson, natural cubic spline. Doubles as a standalone curve toy.
Callable / putable: Hull-White and BDT short-rate trinomials, OAS solved as a parallel curve shift, option-adjusted duration and convexity.
Floaters & linkers: FRN discount margin off a projection curve. TIPS real yield and breakeven inflation.
Futures: Conversion factor, gross/net basis, implied repo. Compare implied repo across single-bond permalinks to identify the CTD.

Permalinks and reproducibility

The URL is the single source of truth for a pricing setup. The model id lives in m, and every input the active model surfaces is serialized as a query parameter. Open the same URL again, anywhere, and you get the same ledger and the same number.

The pasted curve and call schedule are stored verbatim — they are part of the bond setup, not external data. If your colleague can read the URL, they can rebuild the trade.

The Copy permalink button under Model notes copies the URL to the clipboard. Paste it into a note, a chat, or a code review.

You have the whole interface now. The fastest way to make the rest of this stick is to open the tool, switch through three or four models on the same inputs, and watch how the headline and the grid respond.