Duration and convexity metrics for a 1 Mo Treasury bond yielding 3.80% as of July 24, 2026. Modified duration is 0.00 years, meaning a 1 basis point change in yield moves the price by approximately $0.0000 per $100 face value. These metrics help fixed income investors measure and manage interest rate risk across the maturity spectrum.
| Price | Mod Duration | Mac Duration | DV01 | Convexity | ΔP (+100bp) |
|---|---|---|---|---|---|
| $100.00 | 0.00 yr | 0.00 yr | $0.0000 | 0.00 | $0.0 |
Par bond (coupon = yield). Semiannual compounding.
Modified duration measures the percentage price change of a bond for a 1% parallel shift in yields. At a modified duration of 0.00 years, the 1 Mo Treasury will lose approximately $0.0000 per $100 face value for each basis point rise in rates (its DV01). Convexity captures the curvature in the price-yield relationship — for large rate moves, a bond with higher convexity will outperform a linear duration estimate on both rallies and selloffs. These metrics are computed assuming a par bond with semiannual compounding at the current 3.8% yield, making them directly comparable across maturities. Portfolio managers use duration to size interest rate hedges and to evaluate the risk-return tradeoff when extending or shortening portfolio maturity.
The 1-month bill tracks the shortest end of the Treasury curve and moves closely with the federal funds rate. With very low convexity of 0.00, the 1 Mo behaves almost linearly. Its price response to rate changes is almost entirely explained by duration, making it a precise instrument for hedging short-dated rate exposures.