Bond Duration Calculator

Calculate Macaulay Duration and Modified Duration for bonds. Includes DV01 (dollar duration), effective duration for callable bonds, portfolio interest rate sensitivity, and price change estimates for ±100 bps yield shifts.

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Macaulay Duration (years)
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Modified Duration —
Bond Price —
DV01 (Dollar Duration per bp) —
Extended More scenarios, charts & detailed breakdown ▾
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Macaulay Duration (years)
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Modified Duration —
Bond Price —
Professional Full parameters & maximum detail ▾
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Duration Metrics

Macaulay Duration —
Modified Duration —

Interest Rate Sensitivity

DV01 (per bond) —
Portfolio DV01 —
Est. Price Change (+100 bps) —
Est. Price Change (−100 bps) —

How to Use This Calculator

  1. Enter the bond's Face Value, Coupon Rate, YTM, Years to Maturity, and Payment Frequency.
  2. Macaulay and Modified Duration are calculated immediately.
  3. See DV01 — dollar price sensitivity per 1 basis point.
  4. Use the Effective Duration tab for callable or putable bonds using the price shock method.
  5. Open Professional for portfolio DV01 and estimated price changes at ±100 bps.

Formula

Macaulay Duration = Σ [t × PV(CFt)] / Bond Price

Modified Duration = Macaulay Duration / (1 + YTM/freq)

DV01 = Modified Duration × Price × 0.0001

Example

Example: 10-year bond, 5% coupon, 4.5% YTM, $1,000 face, semi-annual. Bond Price = $1,039.56. Macaulay Duration = 7.94 years. Modified Duration = 7.94 / (1 + 0.045/2) = 7.77. DV01 = 7.77 × 1039.56 × 0.0001 = $0.808 per basis point.

Frequently Asked Questions

  • Macaulay Duration is the weighted average time to receive a bond's cash flows, measured in years. It equals the present value weighted average of each payment's timing. A 10-year 5% coupon bond trading at par has a Macaulay duration of approximately 7.8 years.
  • Modified Duration = Macaulay Duration / (1 + YTM/frequency). It estimates the percentage price change for a 1% (100 bps) change in yield. A Modified Duration of 7.5 means a 1% yield rise causes approximately a 7.5% price drop.
  • DV01 (Dollar Value of 01) = Modified Duration × Price × 0.0001. It measures the dollar change in bond price for a 1 basis point (0.01%) change in yield. A DV01 of $0.075 means a 1bp yield move changes the $1000 bond price by $0.075.
  • Effective Duration = (P− − P+) / (2 × P₀ × Δy). Unlike Modified Duration, Effective Duration accounts for embedded options (callable bonds, mortgage-backed securities) where cash flows change as yields move.
  • Longer maturity bonds have more cash flows further in the future, which have higher present value weighting in the duration calculation. Higher duration = greater price sensitivity to interest rate changes. A 30-year zero-coupon bond has duration equal to 30 years.

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Sources & References (5) ▾
  1. Handbook of Fixed Income Securities — Frank Fabozzi — McGraw-Hill
  2. CFA Institute — Fixed Income: Interest Rate Risk — CFA Institute
  3. Bond Duration — Investopedia — Investopedia
  4. SIFMA Bond Market Education — SIFMA
  5. Vanguard — Understanding Bond Duration — Vanguard