Calculator
Bond yield & duration calculator
Yield to maturity is the single discount rate that makes a bond’s future coupons and principal worth its current price. Duration and convexity tell you how sensitive that price is to changes in yield.
Yield to maturity
4.693%
- Current yield
- 4.404%
- Macaulay duration
- 8.212 years
- Modified duration
- 8.023
- Convexity
- 76.74
- DV01 (per 100 face)
- 0.0774
Formula
Price = Σ CFₜ ÷ (1 + y ÷ f)^(t × f)
Macaulay duration = Σ t × PV(CFₜ) ÷ Price
Modified duration = Macaulay ÷ (1 + y ÷ f)
How to use it
Enter the face value, coupon rate, years to maturity, coupon frequency and the clean price.
The yield is solved numerically; duration, convexity and DV01 are then computed at that yield.
Assumptions and limits
- Assumes the bond is priced on a coupon date (no accrued interest) and that all payments are made in full.
- Not suitable for callable, puttable or floating-rate bonds.
Common questions
What does modified duration of 7 mean?
A 1 percentage-point rise in yield would lower the price by roughly 7%. Convexity refines that estimate for larger moves.
What is DV01?
The change in price, per 100 of face value, for a one-basis-point change in yield. Traders use it to size hedges.
For education only, not investment advice. Results depend entirely on the inputs and assumptions above; check important numbers independently.