How to use
- Enter face value, coupon, maturity, and yield.
- Review duration, DV01, and convexity outputs.
- Use the ±200bp slider to inspect points on the price-yield curve.
Inputs
Result
Price-yield curve
Cash-flow table
| # | Year | Coupon | Principal | Cash flow (CF) | Discount factor | Present value (PV) |
|---|
FAQ
What is the difference between Macaulay and modified duration?
Modified duration is Macaulay duration adjusted by yield, and is used as a first-order price sensitivity estimate.
How is DV01 defined in this calculator?
This calculator shows DV01 as the price drop per 100 face when yield is increased by 1 basis point (0.01%).
What happens for a zero-coupon bond?
Without accrued interest, Macaulay duration of a zero-coupon bond matches its maturity in years.
Should coupon rate and YTM be entered as percent values?
Yes. Enter 5 for 5%. If you enter 0.05, it is treated as 0.05%.
What should I define first for bond duration?
Set face value, coupon, maturity, yield, and payment frequency first. Then compare duration and convexity only after confirming coupon timing and yield units match the bond you are modeling.