What is Macaulay duration?

Macaulay duration is the weighted average time (in years) until a bond's cash flows are received. Each cash flow is weighted by its present value as a share of the total bond price. A zero-coupon bond's Macaulay duration equals its maturity.

What is modified duration?

Modified duration equals Macaulay duration divided by (1 + YTM/m), where m is the number of coupon payments per year. It approximates the percentage price change of the bond for a 1% (100 bps) change in yield.

What is dollar duration (DV01)?

Dollar duration (also called DV01 or price value of a basis point) is the dollar change in bond price for a 0.01% (1 basis point) move in yield. It equals modified duration × bond price / 10,000.

Why does a higher coupon reduce duration?

Higher coupon payments return more cash earlier, shifting the weighted average cash-flow timing closer to the present and reducing duration.

What is the difference between duration and convexity?

Duration is a linear approximation of price sensitivity to yield changes. Convexity captures the curvature — the fact that the price-yield relationship is not a straight line. For large yield moves, adding a convexity adjustment gives a more accurate price estimate.

Bond Duration Calculator

Enter coupon rate, face value, yield to maturity, and years to maturity to get Macaulay duration, modified duration, and dollar duration.

Bond Parameters

Annual Coupon Rate (%)

Face Value ($)

Yield to Maturity / YTM (%)

Years to Maturity

Coupon Frequency

Duration Results

Bond Price

Present value of all cash flows

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Macaulay Duration

Weighted avg. time to cash flows

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Modified Duration

% price change per 1% yield move

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Dollar Duration (DV01)

$ price change per 1 bp yield move

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Cash Flow Schedule

Period	Cash Flow	PV	Weight	t × Weight

Summary

The bond duration calculator computes Macaulay duration and modified duration from coupon rate, face value, yield to maturity, and years to maturity. Duration measures the weighted average time to receive a bond's cash flows and is the primary tool for estimating price sensitivity to interest rate changes. Modified duration directly approximates the percentage price drop per 1% rise in yield.

How it works

Enter the annual coupon rate as a percentage (e.g. 5 for 5%).
Enter the bond face value (par value, typically 1000).
Enter the yield to maturity (YTM) as a percentage.
Set the years to maturity and coupon payment frequency.
Click Calculate — Macaulay duration, modified duration, and dollar duration appear instantly.
Adjust any input to see how duration changes with yield or maturity.

Use cases

Measure a bond's price sensitivity to interest rate changes.
Compare duration across bonds to assess relative interest rate risk.
Calculate dollar duration (DV01) for hedging a fixed-income position.
Understand how coupon frequency affects duration for the same bond.
Estimate how much a bond price drops when yields rise by 1%.
Support portfolio immunization by matching asset and liability durations.

Frequently Asked Questions

Last updated: 2026-06-11 · Reviewed by Nham Vu