Bond Duration and Convexity Calculator

Macaulay duration is the weighted average time, in years, until you receive a bond's cash flows, using the present value of each flow as its weight. Modified duration adjusts that figure by dividing by one plus the periodic yield, so it estimates the percentage price change for a one percentage point move in yield.

Duration assumes price moves in a straight line with yield, but the real price-yield curve bends. Convexity captures that curvature. Adding a convexity term makes the estimated price change more accurate, especially for larger yield moves, and explains why a yield drop helps a bit more than an equal yield rise hurts.

DV01, the dollar value of a basis point, is the change in a bond's price for a one basis point (0.01 percent) move in yield. It is computed as modified duration times price times 0.0001 and is widely used to size and hedge interest rate risk.

A zero-coupon bond pays a single cash flow at maturity, so the weighted average time to its cash flows is exactly the time to that one payment. Its Macaulay duration therefore equals its years to maturity, which is why zeros are the most interest-rate sensitive bonds for a given maturity.

Use the bond's yield to maturity, expressed as an annual rate. The calculator converts it to a periodic rate using your coupon frequency and discounts every cash flow at that rate, so the price it shows is consistent with that yield.