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Bond Duration Calculator

Enter a bond’s or fixed-income portfolio’s yearly cash flows and yield to get the Macaulay duration, the modified duration and the price sensitivity to rates.

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One year per line, coupons and principal; the first line is year 1.

 

Macaulay duration3.12yearsAverage time weighted by present value
  • Modified duration2.40 years
  • Simple weighted average life3.44 years
  • Present value (price)675.06 ₺
  • Price change if yields rise 1 point-2.4%

How it is calculated

Duration is the present-value-weighted average time of a bond’s cash flows and measures its interest rate risk. It is shorter than the maturity for a coupon bond and equal to it for a zero-coupon bond. Modified duration approximates the percentage price change for a one-point move in yields.

FormulaD = Σ t × BDₜ ÷ Σ BDₜ, BDₜ = Nₜ ÷ (1 + y)^t; Düzeltilmiş süre = D ÷ (1 + y)Nₜ: cash flow in year t · y: yearly yield to maturity.

Example

A bond paying ₺150 for three years and ₺1,150 in year four has a 3.12-year duration at a 30% yield and a modified duration of 2.40: a one-point rise in yields cuts the price by about 2.40%.

Frequently asked questions

How is the average maturity of cheques worked out?

Multiply each cheque by its days to maturity and divide by the total: the weighted average days. It is the same idea as the simple weighted average life here, without discounting.

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