Duration Times Spread Calculator Excel Template
Duration Times Spread Calculator Excel Template
Interactive Excel Financial Model
Download, customize, and integrate into your own analysis
What's Included
- Interactive financial model with live Excel formulas
- All formulas visible and fully editable
- Professional formatting with color-coded inputs & outputs
- Formula reference sheet with variable definitions
- Step-by-step instructions sheet
- Compatible with Microsoft Excel 2016 and later
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Price range: $0.00 through $20.00
Calculate DTS to measure credit spread risk exposure. Includes risk categories, spread scenarios, and price impact analysis with live Excel formulas.
Online Calculator vs Excel Template
| Feature | Online | Excel |
|---|---|---|
| Instant use — no download | ✓ | — |
| Works offline | — | ✓ |
| Customize formulas & layout | — | ✓ |
| Save & share with colleagues | — | ✓ |
| Integrate into your own models | — | ✓ |
| Print-ready formatting | — | ✓ |
About This Template
Measure credit spread risk with the Duration Times Spread (DTS) Excel template. DTS combines a bond's modified duration with its credit spread to quantify exposure to spread movements — essential for fixed income portfolio management and credit risk assessment.
What You Can Calculate
This template provides five key outputs:
- Duration Times Spread (DTS) — The core metric measuring total spread risk exposure in year-basis points
- Risk Category — Automatic classification (Low, Moderate, High, Very High) based on DTS thresholds
- Post-Shock Spread — Credit spread after your hypothetical spread change scenario
- Approx. % Price Change — First-order estimate of price impact from spread movement
- Dollar Change per $100 Par — Converts percentage change to dollar terms
Required Inputs
Enter four values to run the analysis:
- Modified Duration — Bond's price sensitivity (typically 1-10 years for most bonds)
- Credit Spread (OAS) — Option-adjusted spread in basis points over risk-free rate
- Spread Change Scenario — Hypothetical widening (+) or tightening (-) in basis points
- Bond Price — Current market price as percentage of par value
Methodology
The DTS formula is straightforward: DTS = Modified Duration x Credit Spread. Price change uses first-order duration approximation: %Change = -Duration x (Spread Change / 100). This linear approach works well for modest spread movements.
Assumptions & Limitations
- Uses linear (first-order) duration approximation — actual price changes may differ for large moves
- Assumes interest rates unchanged (spread-only shock scenario)
- Ignores convexity, default probability, and liquidity effects
- Risk category thresholds are illustrative guidelines, not standardized industry benchmarks
Frequently Asked Questions
The template is designed for single-bond analysis. To compare multiple bonds, duplicate the Calculator sheet or copy the formulas to additional rows. The DTS formula (Duration x Spread) is visible and can be extended to portfolio analysis.
Enter your bond's duration and spread, then adjust the Spread Change Scenario input. The template instantly shows the estimated price impact. You can save multiple copies with different scenarios or modify the template to show a range of shocks.
The template uses first-order (linear) duration approximation. For large spread moves, you can add a convexity term directly in the formula cells. With spread change in decimal (bps/10000): Price Change = -Duration x deltaS + 0.5 x Convexity x (deltaS)^2. All formulas are fully editable.
A fully interactive financial model with live Excel formulas, an Instructions sheet with usage guide, and a Formula Reference sheet with variable definitions and model assumptions. All formulas are visible and editable.
Microsoft Excel 2016 or later. The template uses standard Excel formulas only — no macros, VBA, or add-ins required.
Yes. All cells are fully editable. You can modify any formula, add your own calculations, change formatting, or integrate the model into your existing spreadsheets.
The online calculator runs in your browser for quick calculations. This Excel template gives you a portable, offline financial model you can customize, save, share with colleagues, and integrate into your own analysis.
This template is provided for educational and personal use. You may use it in your own professional analysis and presentations. Redistribution or resale of the template itself is not permitted.
You can re-download the latest version from your account or by requesting a new download link. Free downloads are limited to 5 per email address per month.
