Quantora · Rates Desk
Bond Ladder & Immunization
A bond ladder spreads maturities evenly so cash comes back on a schedule and reinvestment risk is smeared across the curve. Quantora builds the ladder, prices every rung with verified bond math, blends the portfolio's duration and convexity, and tells you whether it immunizes a liability due at a chosen horizon.
Each rung is priced and its Macaulay duration (the cashflow-weighted average time to get your money back), modified duration (percent price move per 1% yield change) and convexity computed with semiannual compounding. The portfolio figures are value-weighted. Immunization is the classic pension trick: if the portfolio's duration equals your liability horizon, small parallel rate moves leave you roughly whole - the price gain/loss on the bonds offsets the change in reinvestment income. Higher convexity makes that protection more robust to larger, non-parallel moves. Below the ladder we also solve the two-bond mix (shortest and longest rungs) that exactly matches your horizon.