How do interest rate changes affect bond prices?

When interest rates rise, bond prices fall, and vice versa. The magnitude depends on the bond's duration: longer-maturity bonds are more sensitive. A 100 basis point rate increase would cause a 10-year Treasury to lose roughly 8% in price, while a 2-year Treasury would lose about 2%.

What are the preset scenarios?

Preset scenarios model common macro environments: Fed hikes or cuts (parallel shifts), recession (bull steepener), stagflation (bear flattener), and curve twist scenarios. Each applies a specific basis point shock to every tenor on the current yield curve and shows the resulting price and return impact.

Rate Scenario Simulator | yieldcurve.pro

Apply parallel shifts, twist scenarios, or custom shocks to the current US Treasury yield curve and see the price impact and income offset 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 (columns on the main /scenarios page; per-preset pages show a condensed set without Dur/DV01)
- Base (%) — yield before the shock
- ΔY (bps) — yield change applied by the shock
- Post (%) — yield after the shock
- Dur and DV01 ($) — rate sensitivity at the base yield level (main page only)
- ΔP ($) — estimated dollar price change per $100 face, using duration + convexity
- Income ($) — annual coupon income per $100 face at the pre-shock yield
- Net ($) — coupon income plus price change per $100 face, positive when income covers the loss within one year

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
identify which tenors earn enough income to offset the price loss within one year
compare income offset across twist scenarios — a bear steepener leaves short-end tenors positive while hammering the long end

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