01 / Frame the thesis
Research prompts, not a market forecastStart with the fundamentals.
Inflation & wages
Policy & supply
Primary sources · United States
Check release dates, revisions and what is already priced in. A macro view does not map mechanically to a bond trade.
02 / Express the rates view
A curve, a shock, a repricing.
Zero-coupon yield curve
Illustrative curve · USD
BaseScenario
Annual effective zero rates (%), linearly interpolated by maturity. Par yields require conversion before use.
Scenario templates · hypothetical, editable
Twist: −amplitude at 6M, +amplitude at 30Y, linear between. Belly: triangular shock peaking at 5Y; zero at 6M and 30Y. Positive rates shocks reduce a conventional bond’s price.
Key-rate DV01
Local-currency sensitivity by curve node, for the face amount above.
Each node is bumped independently by ±1 bp. Neighbouring discount rates move through interpolation.
Read the result
The curve shape matters.
03 / Compare the transmission
Same bond. Different rate structures.
The same coupon, maturity and shock are applied to each local curve. Price returns are comparable; local-currency P&Ls are not added or FX-adjusted. These are illustrative instruments, not quoted securities.
| Market / input status | 10Y zero | 2s10s | Price / 100 | Duration | Price change |
|---|
04 / Make the research inspectable
Per-market notes · kept in this tabWrite the thesis. Name the risk.
Method & limits
Read the calculation code ↗A small model you can audit.
Cash flows, not a black box
For each payment at t years, PV = cash flow / (1 + z(t))t. Here z is an annual effective zero rate as a decimal. Coupon payments are face × coupon / frequency; principal is returned at maturity. The grid assumes full coupon periods and zero accrued interest.
Effective duration = (P− − P+) / (2PΔy). Convexity = (P− + P+ − 2P) / (PΔy²), with Δy = 0.0001. DV01 = (P− − P+) / 2, scaled to the face amount.
Interpretation comes first
Illustrative curves are not fitted to market instruments. Use bootstrapped or published zero rates with matching compounding, not policy rates or raw par yields. The euro-area curve is a generic EUR assumption; sovereign spreads are not modelled.
Scenario repricing is exact within this model. Duration/convexity is a local approximation for a parallel move only. Macro surprises, policy expectations and term premia can move in different directions; the templates are hypotheses to investigate.
Further reading: ECB yield-curve methodology · Bank of England yield curves · New York Fed term-premium estimates