Duration for bond cash flows
Estimate sensitivity to interest rate with timing of discounted cash flows.
Your numbers
Di Macaulay duration
Estimate for learning with your assumptions; no live rates, tax rules or investment recommendations. Returns fit dey negative and no get guarantee. Na local sensitivity estimate for small yield changes, without 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 na payment for coupon period k, including principal when e due; m na payments per year, y na yearly yield fraction, and P na total discounted payments. Both durations dey in years.
Estimate sensitivity to interest rate with timing of discounted cash flows.
Example wey show the calculation
- Di face value
- 1000
- Yearly coupon rate (%)
- 5
- Nominal yearly yield (%)
- 5
- Full years before maturity
- 5
- Coupon payments for each year
- 2
- Di Macaulay duration
- 4.48543276462 years
- Di modified duration
- 4.37603196549 years
Where e fit work and limits
Estimate for learning with your assumptions; no live rates, tax rules or investment recommendations. Returns fit dey negative and no get guarantee. Na local sensitivity estimate for small yield changes, without embedded options.
We check inputs for missing values and allowed ranges. Result wey pass the finite numeric range no go show. Rounding affect wetin display, while calculation use the model numeric precision.
Check your units and assumptions before you rely on result. Changing label no convert currency or physical unit.
Version of di formula: 8cd3d69db950 · Example don get check: