ALM Tools · rate-shock, duration & FTP
Rate-Shock — Curve
Duration Impact
| Parallel shift | Est. price impact |
|---|---|
| -200 bp | +9.00% |
| -100 bp | +4.50% |
| +0 bp | 0.00% |
| +100 bp | -4.50% |
| +200 bp | -9.00% |
| +300 bp | -13.50% |
Est. %ΔP ≈ −D·Δy + ½·C·Δy². Illustrative — informational only, not investment advice.
FTP Curve
| Tenor | Treasury | FTP |
|---|---|---|
| 1M | 3.73% | 3.98% |
| 3M | 3.83% | 4.08% |
| 6M | 3.93% | 4.18% |
| 1Y | 3.97% | 4.22% |
| 2Y | 4.13% | 4.38% |
| 3Y | 4.18% | 4.43% |
| 5Y | 4.26% | 4.51% |
| 7Y | 4.39% | 4.64% |
| 10Y | 4.55% | 4.80% |
| 20Y | 5.07% | 5.32% |
| 30Y | 5.08% | 5.33% |