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. Fórmula Matemática e Identidade de Precificação

Price = Σ CFₜ ÷ (1 + y ÷ f)^(t × f)

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

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

2. Como Utilizar e Parâmetros de Entrada

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. Premissas Prudenciais e Limitações do Modelo

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. Perguntas Frequentes e Notas de Risco (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.

Como as equipes de risco podem auditar os resultados da «Bond yield & duration calculator»?

A ETFYield Lab publica a equação exata e as convenções de cálculo nesta página. Analistas podem reproduzir os cálculos em Python/Pandas e verificar a licença da contraparte na central de verificação da ETFYield Lab.

Aviso legal: Apenas para fins educacionais e de pesquisa quantitativa, não constituindo recomendação de investimento. Verifique números importantes de forma independente.