formula-sheet
CFA Level I Fixed Income Formula Sheet
Public formula sheet for bond pricing, yield, duration, convexity, spot rates, and forward rates.
TL;DR
Fixed income formulas revolve around discounting cash flows and estimating price sensitivity to yield changes.
Formula Reference
Bond price
Price = sum[CF_t / (1 + y)^t]Use periodic yield and periodic cash flows.
Current yield
Current yield = annual coupon / bond priceIgnores capital gain or loss to maturity.
Modified duration
ModDur = MacDur / (1 + y / m)Price sensitivity to yield changes.
Duration with convexity
% price change approx = -ModDur x dy + 0.5 x convexity x dy^2Improves estimate for larger yield changes.
BA II Plus Keystrokes
- Use TVM registers for price and yield.
- Use x^2 for convexity adjustment.
- Use STO/RCL for duration and convexity terms.
Worked Example
- Modified duration is 6.2 and yield rises 40 bps.
- Approximate price change = -6.2 x 0.004 = -2.48 percent.
Common Mistakes
- Using basis points as 40 instead of 0.004.
- Forgetting coupon frequency adjustments.
- Expecting duration-only estimates to be exact.
Related Guides
- CFA Level I Fixed Income Calculations - Bond pricing, yield, duration, convexity, spot rates, and forward rates for CFA Level I.
- How to Calculate Modified Duration - Formula, worked example, BA II Plus workflow, and common mistakes for modified duration.
- Spot Rate vs Forward Rate - Explain spot rates, forward rates, no-arbitrage relationships, and fixed income exam traps.