How to Use the Treasury Bond Rate Sensitivity Calculator
Long-maturity Treasury ETFs like TLT react unusually strongly to interest rate changes. This calculator uses "duration," the standard metric linking bond prices to rates, to estimate roughly how much your TLT position's value would change if rates moved by a given amount.
Modified duration tells you roughly what percent the price moves for each 1 percentage point change in rates, and TLT — built from Treasuries with 20+ year maturities — typically runs a duration around 17 years, making it highly rate-sensitive. The formula used is: price change % = -duration × Δy + 0.5 × convexity × Δy², where Δy is your entered rate change (in percentage points) divided by 100. For example, entering a duration of 17, convexity of 2, and a rate change of 1.5 points (Δy = 0.015) gives -17 × 0.015 + 0.5 × 2 × 0.015² ≈ -25.48%. The convexity term corrects for the nonlinear error that shows up with larger rate moves; if you don't know your convexity, leaving it at 0 and using duration alone is fine.
Bond prices move inversely to rates — prices fall when rates rise and rise when rates fall — so enter a rate increase as a positive number and a decrease as negative. This formula is a theoretical approximation, and TLT's actual price is also shaped by market supply and demand, credit spreads, and other factors, so treat the result as a reference estimate rather than a guaranteed outcome.
Frequently Asked Questions
Duration measures roughly how many percent a bond (or bond ETF) price moves when interest rates change by 1 percentage point. A long-maturity Treasury ETF like TLT typically has a duration around 17 years, making it highly sensitive to rate moves.
No. Convexity corrects for the nonlinear error that duration alone doesn't capture. Leaving it at 0 and using duration alone is a fine approximation for smaller rate moves. Enter a value only if you want a more precise estimate for larger rate changes.
Yes. The duration/convexity formula is an approximation, and TLT's actual price is also affected by market supply and demand, liquidity, and other factors. Treat this calculator's output as a theoretical sensitivity estimate.