Clean Price
The quoted price of a bond, which excludes any interest that has accrued since the last coupon payment.
Yield to Maturity (YTM)
The total annualized return an investor can expect if they hold the bond until it matures.
Accrued Interest
The interest earned on a bond since the last coupon payment but not yet paid to the holder.
Dirty Price
The actual price paid for a bond, calculated as the Clean Price plus Accrued Interest.
Macaulay Duration
The weighted-average time (in years) until a bond's cash flows are received. A measure of interest rate risk.
Modified Duration
Measures the percentage price change of a bond for a 1% change in its yield.
Convexity
A measure of the curvature in the price-yield relationship, used to refine duration-based price change estimates.
DV01 (Dollar Value of '01)
The change in a bond's price for a 1 basis point (0.01%) change in yield, measured in currency units.
Day Count Convention
The method used to calculate the number of days in a coupon period for accrued interest calculations.
Coupon Frequency
How often the bond pays interest (e.g., annually, semi-annually).
ΔPrice +100 bps
The estimated percentage price change if the bond's YTM increases by 100 basis points (1%), adjusted for convexity.
ΔPrice −100 bps
The estimated percentage price change if the bond's YTM decreases by 100 basis points (1%), adjusted for convexity. The change in price is more when the YTM decreases in comparison to the YTM increase. The effect is coming from Convexity which is second order derivative of Dirty price.