Apply parallel shifts, twist scenarios, or custom shocks to the current US Treasury yield curve and see the price impact across all maturities. The simulator uses the duration + convexity approximation for accurate estimates even for large moves.

Instructions

  • select a Preset from the dropdown for a common scenario (Fed Hikes, Recession, Bear Flattener, etc.)
  • or select a Type — Parallel Shift or Twist
  • for parallel: enter the Shift in basis points (positive = rates up)
  • for twist: enter separate Short End and Long End shifts; intermediate tenors are linearly interpolated
  • click GO to compute the impact

Results

  • Chart — the base yield curve overlaid with the shocked curve (both solid lines)
  • Impact table — per-tenor breakdown:
    • Base and Shocked yields in percent
    • Δ (bps) — change in basis points
    • ΔPrice ($) — estimated dollar price change per $100 face, using duration + convexity
    • Duration and DV01 — at the base yield level

Preset Scenarios

  • Fed Hikes +100bp — parallel shift up; aggressive tightening
  • Fed Cuts -100bp — parallel shift down; easing cycle
  • Recession — front end -150bp, long end -50bp; bull steepener
  • Bear Flattener — short rates +150bp, long rates +50bp; policy tightening
  • Bull Steepener — short rates -100bp, long end unchanged; rate cuts begin
  • Bear Steepener — long rates +100bp, short end unchanged; term premium repricing
  • Bull Flattener — long rates -75bp, short end -25bp; flight to quality
  • Stagflation — parallel +200bp; persistent inflation

Use Cases

  • stress-test a portfolio against standard rate scenarios
  • visualize how different parts of the curve respond to specific shocks
  • compare the price sensitivity of short vs. long bonds under various macro regimes
  • build intuition for duration and convexity effects at different yield levels

Per-scenario pages (e.g. /scenarios/recession) show the current curve under a specific preset shock.