Bond Duration Calculator
Price a bond and calculate Macaulay duration, modified duration, convexity and DV01, then estimate the price move for any yield shift in basis points.
Estimated price move for a yield shift
| Estimate | Price change | New price |
|---|---|---|
| Duration only | -$70.95 | $854.66 |
| Duration + convexity | -$67.63 | $857.99 |
| Repriced exactly | -$67.74 | $857.88 |
Cash flows — 20 periods
| Period | Years | Cash flow | Present value | Weight |
|---|---|---|---|---|
| 1 | 0.50 | $25.00 | $24.27 | 2.622% |
| 2 | 1.00 | $25.00 | $23.56 | 2.546% |
| 3 | 1.50 | $25.00 | $22.88 | 2.472% |
| 4 | 2.00 | $25.00 | $22.21 | 2.400% |
| 5 | 2.50 | $25.00 | $21.57 | 2.330% |
| 6 | 3.00 | $25.00 | $20.94 | 2.262% |
| 7 | 3.50 | $25.00 | $20.33 | 2.196% |
| 8 | 4.00 | $25.00 | $19.74 | 2.132% |
| 9 | 4.50 | $25.00 | $19.16 | 2.070% |
| 10 | 5.00 | $25.00 | $18.60 | 2.010% |
| 11 | 5.50 | $25.00 | $18.06 | 1.951% |
| 12 | 6.00 | $25.00 | $17.53 | 1.894% |
| 13 | 6.50 | $25.00 | $17.02 | 1.839% |
| 14 | 7.00 | $25.00 | $16.53 | 1.786% |
| 15 | 7.50 | $25.00 | $16.05 | 1.734% |
| 16 | 8.00 | $25.00 | $15.58 | 1.683% |
| 17 | 8.50 | $25.00 | $15.13 | 1.634% |
| 18 | 9.00 | $25.00 | $14.68 | 1.587% |
| 19 | 9.50 | $25.00 | $14.26 | 1.540% |
| 20 | 10.00 | $1,025.00 | $567.52 | 61.313% |
Macaulay duration = Σ(t × PV of cash flow) ÷ price, modified duration = Macaulay ÷ (1 + y ÷ m), and convexity = Σ(t(t+1) × PV) ÷ (price × (1 + y ÷ m)²), all with t measured in years and m coupons per year. A 5-year 8% annual-coupon bond priced at par returns a Macaulay duration of 4.3121 years and a modified duration of 3.9927, the standard textbook values. Prices are clean, settling on a coupon date, with no accrued interest and no day-count adjustment. Estimates for analysis only, not investment advice.
What is the Bond Duration Calculator?
The ByteTools Bond Duration Calculator builds the full cash-flow schedule from a bond's face value, coupon rate, frequency and time to maturity, prices it at the yield you supply, then reports Macaulay duration, modified duration, convexity and DV01 side by side.
- Macaulay duration, modified duration, convexity, DV01 and current yield together
- Full cash-flow table with discount factors, present values and weights
- Duration-only versus duration-plus-convexity price estimates against an exact reprice
- Annual, semi-annual, quarterly or monthly coupon frequencies
- Guards a negative or extreme yield instead of producing a nonsense price
- CSV export of the discounted cash-flow schedule
How to use the Bond Duration Calculator
- 1
Enter the face value, annual coupon rate, yield to maturity and years to maturity.
- 2
Pick the coupon frequency — annual, semi-annual, quarterly or monthly.
- 3
Read the price, Macaulay duration, modified duration, convexity and DV01.
- 4
Set a yield shift in basis points to compare the duration estimate against the exact repriced value.
- 5
Download the discounted cash-flow schedule as a CSV.
About the Bond Duration Calculator
The ByteTools Bond Duration Calculator builds the full cash-flow schedule from a bond's face value, coupon rate, frequency and time to maturity, prices it at the yield you supply, then reports Macaulay duration, modified duration, convexity and DV01 side by side.
It is aimed at fixed-income analysts, treasury teams and finance students who need to see where a duration figure comes from rather than just the answer. Enter a yield shift in basis points and it compares the duration-only estimate, the duration-plus-convexity estimate and the exact repriced value, which makes the convexity correction visible instead of theoretical.
Everything is calculated in your browser with no market data fetched and nothing uploaded, so it works offline and keeps your positions private. Prices are clean and settle on a coupon date, with no accrued interest — estimates for analysis, not investment advice.
Frequently asked questions
What is the difference between Macaulay and modified duration?
Macaulay duration is the weighted average time in years until you receive the bond's cash flows. Modified duration divides that by one plus the periodic yield and is the practical figure: it estimates the percentage price change for a one percentage point move in yield.
How do you calculate Macaulay duration?
Discount every coupon and the redemption to present value, multiply each by the time in years until it is paid, add those up and divide by the bond's price. A five-year bond with an 8% annual coupon priced at par has a Macaulay duration of 4.3121 years and a modified duration of 3.9927.
What is DV01 on a bond?
DV01, sometimes called the dollar value of a basis point, is the money change in a bond's price for a one basis point move in yield. It equals modified duration times price divided by 10,000, and traders use it to size hedges because it is expressed in currency rather than percent.
Why does convexity matter if I already have duration?
Duration assumes the price-yield relationship is a straight line, but it curves. Convexity captures that curve, so for large yield moves the duration-only estimate overstates the loss when yields rise and understates the gain when they fall. This tool shows both estimates against the exact reprice.
Does this include accrued interest?
No. The tool prices a bond settling on a coupon date, so it returns the clean price with no accrued interest and no day-count convention applied. For a mid-period settlement you would need to add accrued interest to get the dirty price.
Is any market data downloaded?
No. Every figure comes from the inputs you type and the calculation runs entirely in your browser, so nothing is fetched and no position details leave your device.
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