Bond Duration Calculator
Calculate Macaulay and Modified Duration for a fixed-rate bond. Duration measures interest rate sensitivity — the approximate percentage price change for a 1% change in yield.
Results
What is it?
Bond duration measures the weighted-average time until a bond's cash flows are received, expressed in years. Macaulay Duration is the pure time-weighted measure, while Modified Duration adjusts it to estimate the bond's price sensitivity to interest rate changes. A Modified Duration of 7 means the bond's price will fall approximately 7% for every 1% rise in yields.
How to use
Enter the bond's face value, annual coupon rate, yield to maturity, years to maturity, and coupon frequency. The calculator returns both Macaulay Duration (in years) and Modified Duration. Use Modified Duration to estimate price changes: ΔPrice ≈ −ModifiedDuration × Δyield × Price.
Example scenario
A $1,000 par bond with a 5% coupon paid semi-annually, 10 years to maturity, and a 4% YTM has a Macaulay Duration of approximately 8.18 years and a Modified Duration of about 8.02 years. If yields rise by 0.5%, the bond's price would drop by roughly 4.01% (8.02 × 0.5%).
Pro tip
Zero-coupon bonds have the highest duration (equal to their maturity) because all cash flow arrives at the end. Higher coupons and shorter maturities reduce duration. Portfolio managers use duration matching to immunize portfolios against interest rate risk — matching asset duration to liability duration.