What-If Analyzer
What it does
The What-If Analyzer models how a bond's price changes under different interest rate scenarios. You select a bond from your portfolio or the database, then define a range of yield shifts (e.g. −200 bps to +200 bps in 50 bps steps). The analyzer computes the new price, percentage price change, and dollar P&L for each scenario.
This is a stress test — it shows your downside if rates rise and your upside if rates fall, helping you understand the interest-rate risk of a position before you take it.
When to use it
- Before buying a long-dated bond — see how much you could lose if you need to sell early and rates have moved against you.
- Comparing two bonds: a higher-coupon short bond vs. a lower-coupon long bond — the analyzer shows which has more price volatility.
- During periods of CBK rate change speculation — model the impact of a 50 bps or 100 bps rate move.
Stress-testing a KES 1M position in FXD2/2030/10
You hold KES 1,000,000 face value of FXD2/2030/10 (13.49% coupon, ~4.6 years to maturity, current yield 16.10%). You want to know your P&L exposure if CBK raises rates by 100 bps or cuts by 100 bps.
Example output
| Yield Shift | New Yield | New Clean Price | Price Change | P&L on KES 1M |
|---|---|---|---|---|
| −200 bps | 14.10% | KES 103.71 | +3.65% | +KES 36,500 |
| −100 bps | 15.10% | KES 99.92 | +3.86% | +KES 18,300 |
| 0 bps (current) | 16.10% | KES 96.21 | — | — |
| +100 bps | 17.10% | KES 92.64 | −3.71% | −KES 37,100 |
| +200 bps | 18.10% | KES 89.21 | −7.27% | −KES 72,700 |
A +100 bps rate shock costs you KES 37,100 in mark-to-market value on this position. If you hold to maturity, the loss is only realised if you sell — but the table shows the opportunity cost of being locked into a rate that the market has moved away from.
Column reference
| Column | Description |
|---|---|
| Yield Shift (bps) | Basis points added to the current yield. 100 bps = 1%. |
| New Clean Price | Recalculated bond price at the shifted yield, per KES 100 face value. |
| Price Change | Percentage change vs. the current price. |
| P&L | KES gain or loss on your face value holding if you were to sell at the new price. |
Limitations
- Uses modified duration for price sensitivity — this is a linear approximation. For large yield moves (>200 bps) convexity causes actual price changes to be slightly better than shown.
- Parallel shift assumption — models all maturities shifting by the same amount. Real yield curve moves are rarely parallel.
- P&L shown is mark-to-market only. If you hold to maturity, you receive face value regardless of interim price moves.