Bond Duration
Estimate interest-rate sensitivity using discounted cash-flow timing.
Your numbers
Macaulay duration
Educational estimate using your assumptions; no live rates, tax rules or investment recommendations. Returns can be negative and are not guaranteed. Local sensitivity estimate for small yield changes, with no embedded options.
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Formula
Use PVₖ = CFₖ/(1+y/m)^k, tₖ = k/m, D = Σ(tₖPVₖ)/P and Dₘ = D/(1+y/m). CFₖ is the payment in coupon period k, including principal when due; m is payments per year, y is the annual yield fraction, and P is the sum of discounted payments. Both durations are in years.
Estimate interest-rate sensitivity using discounted cash-flow timing.
Worked example
- Face value
- 1000
- Annual coupon rate (%)
- 5
- Nominal annual yield (%)
- 5
- Whole years to maturity
- 5
- Coupon payments per year
- 2
- Macaulay duration
- 4.48543276462 years
- Modified duration
- 4.37603196549 years
Scope and limitations
Educational estimate using your assumptions; no live rates, tax rules or investment recommendations. Returns can be negative and are not guaranteed. Local sensitivity estimate for small yield changes, with no embedded options.
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Formula version: 8cd3d69db950 · Example checked: