What is modified duration?

Modified duration is a measure of a bond's price sensitivity to interest rate changes. It approximates the percentage change in a bond's price for a 1% (100 basis points) change in yield. A bond with a modified duration of 4 will lose approximately 4% of its price if rates rise 1%.

How is modified duration different from Macaulay duration?

Macaulay duration is the PV-weighted average time (in years) until you receive each cash flow. Modified duration equals Macaulay duration divided by (1 + periodic YTM). For bonds with frequent coupons, the two values are close; the distinction matters when comparing across different coupon frequencies.

DV01 (Dollar Value of a 01, or dollar duration per basis point) is the dollar change in bond price for a 1 basis-point (0.01%) increase in yield. It equals Modified Duration × Bond Price × 0.0001.

Does a higher modified duration mean more risk?

Yes. A higher modified duration means the bond's price is more sensitive to rate changes. Long-maturity, low-coupon bonds typically have the highest duration and the most interest rate risk.

Is the price change estimate exact?

No. The modified duration estimate is a linear approximation. For large yield moves, the actual price change will differ because of convexity — the curvature of the price-yield relationship. This tool also shows convexity so you can apply a second-order correction if needed.

What coupon frequency should I use for US Treasury bonds?

US Treasury notes and bonds pay coupons semi-annually, so choose "Semi-Annual (2/yr)". Most corporate bonds in the US also pay semi-annually. European bonds often pay annually.

Modified Duration Calculator

Name: Modified Duration Calculator
Availability: InStock
Author: Nham Vu

Enter bond details to calculate Macaulay duration, modified duration, and estimated price change for a given shift in yield.

Bond Parameters

Face Value (Par)

Annual Coupon Rate (%)

Yield to Maturity (%)

Years to Maturity

Coupon Frequency

Yield Shift for Price Estimate (basis points)

bps

100 bps = 1%. Positive = rates rise, negative = rates fall.

Enter bond parameters and click Calculate.

Modified Duration

—

years

Macaulay Duration

—

years

Bond Price

—

per $1,000 par

Convexity

—

years²

DV01

—

per 1 bp move

Estimated Price Change (100 bps shift)

Duration Only

—

With Convexity

—

New Price (Exact)

—

re-priced at new YTM

Cash Flow Schedule

Period	Cash Flow	PV of CF	Weight	Wt × Time
Total	—	—	100.00%	—

Summary