Bond Duration and Convexity Calculator
Interest rate changes affect bond prices differently depending on maturity, coupon, and yield. Enter your bond's details to estimate its duration and convexity, key measures of interest rate risk.
About this calculator
Calculate a bond's Macaulay duration, modified duration, and convexity to estimate its price sensitivity to interest rate changes.
Frequently Asked Questions
What is Macaulay duration?
Macaulay duration is the weighted average time until a bond's cash flows are received, expressed in years, using each cash flow's present value as the weight.
What is modified duration used for?
Modified duration estimates the percentage change in a bond's price for a 1% change in yield, making it a key measure of interest rate risk.
What does convexity add beyond duration?
Convexity captures the curvature in the price-yield relationship, improving the accuracy of price change estimates for larger shifts in interest rates.