Bond
%
yrs
%
Quoted as an annual rate, compounded with the coupon frequency.
Full price on a coupon date. The yield is solved for you.
Rate shock
bp
Price–yield curve
Actual priceDuration estimate (tangent)
Price, yield to maturity, Macaulay and modified duration, convexity and DV01, with every cash flow shown so you can check the work.
The same steps you would write on an exam, with this bond's numbers filled in.
The weighted-average time until you receive the bond's cash flows, in years. Each payment's weight is its share of the bond's present value.
The approximate percentage change in price for a one-unit change in yield. A modified duration of 4.2 means roughly a 4.2% price drop if yields rise by 1 percentage point.
The curvature that duration misses. Adding it makes the estimate hug the real price curve, which matters for big moves and long bonds.
The change in price for a one basis point move: Dmod × P × 0.0001.
Bond yields are quoted as annual rates. A semi-annual bond discounts each half-year cash flow at y/2, so the modified duration divides by (1 + y/2), not (1 + y). Using the annual rate here is the most common exam mistake.
The sum Σ PV·k(k+1) is measured in periods squared. Dividing by m² converts it to years squared, so it can be used with an annual change in yield.
Its Macaulay duration equals its maturity, because there is only one cash flow. Try the 10-year zero preset above.
For a plain bond with no embedded options, effective duration is essentially the modified duration shown here. Callable and putable bonds need an option-adjusted model, which this calculator does not cover.
No. The calculator assumes you are on a coupon date, so every period is whole and the price shown is the full price.