Spread-duration P&L calculator
The credit trader's mental arithmetic.
Interactive: spread-duration P&LMedium
Credit portfolios live and die by one product: spread duration × spread change. This is the mental arithmetic of every credit trader's day.
- Price impact
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- P&L on position
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- Breakeven widening (1y carry)
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First-order only — convexity, defaults and rating migration are extra. The breakeven answers: how much can spreads widen before this year's carry is gone?
The idea behind it
This calculator belongs to Credit Derivatives, where the mechanism it computes is explained step by step, with the formula, what each input means and where the simple model stops being right. Everything is computed in your browser; nothing you type is sent anywhere.
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- Altman Z-score — the 1968 distress screen, still in use.
- Downgrade risk, not just default risk — most credit loss is the first, not the second.
- Distance to a contingent-convertible trigger — the headroom, and why the trigger is rarely what fires.