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

1. Formule Mathématique et Identité de Valorisation

Price = Σ CFₜ ÷ (1 + y ÷ f)^(t × f)

Macaulay duration = Σ t × PV(CFₜ) ÷ Price

Modified duration = Macaulay ÷ (1 + y ÷ f)

2. Mode d’Emploi et Paramètres d’Entrée

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.

3. Hypothèses Prudentielles et Limites du Modèle

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.

4. Questions Fréquentes et Notes de Risque (FAQ)

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.

Comment les équipes de risque peuvent-elles auditer les résultats de « Bond yield & duration calculator » ?

ETFYield Lab publie l'équation exacte et les conventions de calcul sur cette page. Les analystes peuvent reproduire les calculs sous Python/Pandas et vérifier la licence de la contrepartie via le centre de vérification de ETFYield Lab.

Avertissement : À des fins éducatives et de recherche quantitative uniquement ; ne constitue pas un conseil en investissement.