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FINANCE / RATE SENSITIVITY

Bond Duration Calculator

Calculate Macaulay and modified duration for a fixed-rate, option-free bond from explicit cash-flow assumptions.

  • 01 Calculated in this tab
  • 02 Values stay in this browser tab
  • 03 Use boundary

Conversion input

Known value

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Bond terms

Market assumption

Bond terms

Preparing the calculator...

METHOD / WORKED EXAMPLE

Turn future cash flows into one timing measure

Duration combines the timing and present value of every modeled payment instead of treating maturity as the only measure of rate sensitivity.

WORKED DEFAULT

Check the calculation with the default inputs

For a $1,000 face bond with a 5% annual coupon, 6% nominal yield, 10 years, and semiannual payments, the model price is about $925.61, Macaulay duration is about 7.895 years, and modified duration is about 7.665 years.

  1. Discount 20 semiannual cash flowsAbout $925.61 model price
  2. Weight each present value by timeAbout 7.895 years Macaulay duration
  3. Divide by 1 + periodic yieldAbout 7.665 years modified duration

READ THE RESULT

Interpret the output in context

Modified duration gives a first-order percentage price-change estimate for a small yield move. Convexity improves that approximation but neither model covers every market risk.

ASSUMPTIONS AND LIMITS

Know where the model stops

  • The bond is fixed-rate, option-free, and pays level coupons.
  • Yield is nominal and compounded at the selected coupon frequency.
  • Cash flows are paid as scheduled with no default or reinvestment model.

Duration is a first-order sensitivity measure. Credit spreads, embedded options, liquidity, and non-parallel curve changes are outside this model.

FINRA: interest-rate changes and duration

COMMON QUESTIONS

Bond Duration Calculator FAQs

How is duration different from maturity?

Maturity is the time until principal is due. Duration weights all coupon and principal cash flows by their present values, so a coupon-paying bond normally has a duration shorter than its maturity.

What does modified duration estimate?

Modified duration approximates the percentage price change for a small yield change with the opposite sign. It is a local, first-order estimate and becomes less accurate for larger moves.

Can this model handle callable bonds?

No. Callable, putable, convertible, floating-rate, amortizing, and defaultable bonds can have cash flows that change with rates or events. They require option-aware or scenario-based models.

Use boundary

Calculation path

The calculator discounts each contractual coupon and principal payment, weights each present value by payment time, and adjusts Macaulay duration for periodic yield.

Calculation path

Macaulay duration = sum(time x present value of cash flow) / bond price. Modified duration = Macaulay duration / (1 + yield per period).