Portfolio Immunization Calculator
Free portfolio immunization calculator matches asset duration to liability duration. Computes duration gap, immunization status and rebalancing weights for LDI.
How It Works
Enter the inputs described in each field label for Portfolio Immunization Calculator. Adjust the inputs above to see how changes affect the projection.
Portfolio immunization aligns asset duration with liability duration to reduce interest rate risk for defined obligations. Combine with Bond Convexity and Bond Yield to Maturity on portfolios.tools for liability driven investing. Numbers update instantly so you can pressure test assumptions quickly.
Combine with Bond Convexity and Bond Yield to Maturity on portfolios.tools for liability driven investing.
Bookmark the page for quick reruns without installing software.
Step by step
- Open Portfolio Immunization Calculator and enter your current inputs.
- Review calculated outputs and summary tables.
- Adjust assumptions and compare scenarios side by side.
Worked example
Adjust one input at a time to see sensitivity.
Common mistakes
Confirm tickers, percentages, and dates before acting.
Running a single baseline scenario ignores tail risks.
The Formula
Portfolio Duration = Σ (Weight × Duration)
Duration Gap = Portfolio Duration − Liability Duration
Immunized when |Gap| < 0.1 years
Uses simplified duration matching. Convexity matching and cash flow timing may be required for precise immunization.
Limitations and assumptions
Uses simplified duration matching. Convexity matching and cash flow timing may be required for precise immunization. Portfolio Immunization Calculator does not replace personalized advice.
Key terms
- What does Portfolio Immunization Calculator measure
- Portfolio immunization aligns asset duration with liability duration to reduce interest rate risk for defined obligations.
- How is the formula applied
- The formula block on this page shows every intermediate step so you can audit the math against textbook definitions.
- Model assumption
- Interpret results in context rather than as automatic buy, sell, or accept signals.
Compare alternatives
Combine with Bond Convexity and Bond Yield to Maturity on portfolios.
FAQ
What does Portfolio Immunization Calculator measure?
Portfolio immunization aligns asset duration with liability duration to reduce interest rate risk for defined obligations. This calculator runs entirely in your browser on portfolios.tools. The formulas and any bundled reference data are documented below.
How is the formula applied in Portfolio Immunization Calculator?
Uses simplified duration matching. Convexity matching and cash flow timing may be required for precise immunization. You can change any input and rerun the calculation as many times as you like. Comparing scenarios side by side is the most reliable way to understand how sensitive the result is to each assumption.
How should I interpret Portfolio Immunization Calculator results?
Portfolio immunization aligns asset duration with liability duration to reduce interest rate risk for defined obligations. The tool uses standard formulas taught in mainstream finance textbooks. Where applicable, bundled reference data is used. For high stakes decisions, validate the assumptions with a qualified advisor.
What are common input mistakes with Portfolio Immunization Calculator?
Stress test with conservative and optimistic inputs before acting. Document assumptions when sharing outputs with colleagues or clients. Save your local copy of the inputs in your browser; they persist across sessions on this device. Clearing browser data or switching devices will reset the form to defaults.
What are the limitations of Portfolio Immunization Calculator?
Uses simplified duration matching. Convexity matching and cash flow timing may be required for precise immunization.
Related Tools
Combine with Bond Convexity and Bond Yield to Maturity on portfolios.tools for liability driven investing.