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BONDSTATS REFERENCE LIBRARY

Financial Formula Library

Equations, calculations and market conventions used across fixed income and finance. Each formula has its own crawlable page with variables, interpretation and an original worked example.

80 dedicated pages13 categoriesORIGINAL BondStats explanations

Current Yield

Relates annual coupon income to the bond's current market price.

Yield to Maturity

The single discount rate that equates a bond's cash flows with its market price.

Yield to Call

Measures the annualized yield assuming a callable bond is redeemed on a specified call date.

Yield to Worst

Identifies the lowest conventionally calculated yield among permitted redemption scenarios.

Bond Price

Values a fixed-income instrument as the present value of promised cash flows.

Dirty Price

Gives the full settlement price including coupon interest earned since the last coupon date.

Accrued Interest

Allocates coupon interest between seller and buyer at settlement.

Zero-Coupon Bond Price

Prices a bond with a single payment at maturity.

Discount Yield

Quotes the discount from face value on a money-market basis.

Money Market Yield

Expresses short-term return relative to invested price rather than face value.

Holding Period Return

Measures total return over the actual holding period.

Annualized Return

Converts a sub-year or multi-year holding return to an annualized rate.

Simple Return

Measures percentage gain or loss relative to starting capital.

Log Return

Creates an additive continuously compounded return measure.

DURATION & RISK

Macaulay Duration

Measures the present-value-weighted average time to receive a bond's cash flows.

DURATION & RISK

Modified Duration

Approximates percentage price sensitivity to a small change in yield.

DURATION & RISK

Effective Duration

Measures rate sensitivity when cash flows can change with rates.

DURATION & RISK

Dollar Duration

Expresses first-order rate sensitivity in price units rather than percentage terms.

DURATION & RISK

DV01

Estimates the price change for a one-basis-point yield move.

DURATION & RISK

PVBP

Measures present-value change for a one-basis-point rate shift; closely related to DV01.

DURATION & RISK

Convexity

Captures curvature in the price-yield relationship beyond duration.

DURATION & RISK

Duration-Convexity Price Change

Combines first- and second-order interest-rate sensitivity.

DURATION & RISK

Key Rate Duration

Measures sensitivity to a specific maturity point on the yield curve.

Spread Duration

Approximates price sensitivity to changes in credit spread.

Credit Spread

Measures yield compensation over a selected reference curve.

Asset Swap Spread

Expresses bond richness or cheapness relative to the swap curve under an asset-swap structure.

Z-Spread

Finds the constant spread added to each spot rate that reproduces the bond price.

Option-Adjusted Spread

Separates modeled option effects from spread compensation.

Spread Change

Measures widening or tightening in basis points.

Expected Loss

Combines default likelihood, loss severity and exposure into an expected credit loss measure.

Loss Given Default

Measures the proportion of exposure lost if default occurs.

Recovery Rate

Measures the fraction of a claim recovered after default or restructuring.

Breakeven Inflation

Provides a market-based inflation compensation measure, not a pure forecast.

Real Interest Rate

Approximates the inflation-adjusted interest rate.

Fisher Equation

Relates nominal rates, real rates and inflation exactly in multiplicative form.

Inflation-Linked Principal

Shows how inflation-indexed bond principal is scaled by the reference inflation index.

Forward Rate

Derives an implied future rate from spot rates under a specified compounding convention.

Par Yield

Finds the coupon rate that would make a bond price at par for a given zero curve.

Yield Curve Slope

Summarizes the difference between selected long and short rates.

2s10s Spread

Tracks a widely watched segment of sovereign curve steepness.

5s30s Spread

Measures the slope between intermediate and long maturities.

Butterfly Spread

Measures relative curvature around a middle maturity.

Term Premium

Decomposes a long yield conceptually into expected policy-rate path and compensation for duration risk.

Repo Interest

Calculates simple interest on a repo cash leg.

Repo Repurchase Price

Gives the cash amount returned at repo maturity before other adjustments.

Repo Haircut

Measures collateral value withheld relative to cash lent.

Collateral Value After Haircut

Estimates cash that can be raised against collateral after applying a haircut.

Implied Repo Rate

Estimates the financing return embedded in a cash-and-futures basis trade.

SOFR Compounded Rate

Compounds daily overnight rates across an interest period.

Weighted Average Rate

Calculates an exposure- or volume-weighted average interest rate.

Liquidity Coverage Ratio

Measures a bank's stock of liquid assets relative to modeled 30-day stress outflows.

Net Stable Funding Ratio

Measures structural funding stability over a longer horizon.

Common Equity Tier 1 Ratio

Measures highest-quality regulatory capital relative to risk-weighted assets.

Leverage Ratio

Provides a non-risk-weighted capital backstop.

Loan-to-Deposit Ratio

Compares loan assets with deposit funding.

Debt-to-GDP Ratio

Scales public debt by the size of the economy.

Interest-to-Revenue Ratio

Measures the share of public revenue absorbed by interest costs.

Primary Balance

Shows the fiscal balance before debt-service costs.

Debt Service Ratio

Measures the burden of scheduled debt service relative to resources.

Refinancing Cost Gap

Approximates the rate shock faced when old debt is refinanced at current yields.

Average Daily Refinancing Need

Converts a maturity bucket into an average daily refinancing requirement.

Debt Maturity Share

Measures how much of a debt stock reprices or must be refinanced within a chosen horizon.

Sharpe Ratio

Measures excess return per unit of total volatility.

Sortino Ratio

Measures return relative to harmful downside variability.

Portfolio Duration

Aggregates duration exposure across a fixed-income portfolio.

Portfolio DV01

Aggregates first-order one-basis-point rate exposure.

Value at Risk

Estimates a loss threshold exceeded with a specified probability under the chosen model.

Beta

Measures linear sensitivity of an asset's returns to a selected market benchmark.

Correlation

Standardizes co-movement between two return series.

Tracking Error

Measures volatility of active returns versus a benchmark.

Information Ratio

Measures active return per unit of benchmark-relative risk.

Present Value

Converts a future cash flow into today's value.

Future Value

Compounds a present amount into a future value.

Net Present Value

Measures value created relative to upfront cost under a chosen discount rate.

Compound Annual Growth Rate

Expresses a smoothed annual compound growth rate.

Basis Point Conversion

Converts rate changes between common market units.

Percentage Change

Measures proportional change from a starting value.

Weighted Average Maturity

Summarizes average time to maturity using chosen portfolio weights.

Weighted Average Life

Measures average time until principal is repaid.

Cash Conversion of Yield

Provides a simple approximation translating an annualized yield into period cash income.