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fin.dollar-duration-convexity Calculator
Calculates bond price, Macaulay duration, modified duration, and convexity from bond characteristics and yield. Convexity means bonds gain more price from a yield decrease than they lose from an equivalent yield increase — positive convexity benefits the bond holder.
Inputs
Face Value
The nominal value printed on the bond — what the issuer repays at maturity. Bonds trade above (premium) or below (discount) face value depending on interest rates.
Coupon Rate Pct
Annual interest a bond pays on its face value. A 5% coupon on a $1,000 bond pays $50/year regardless of what the bond trades for in the market.
Ytm Pct
Total annualised return if you buy the bond now and hold to maturity, assuming coupons are reinvested. Higher YTM means the bond is trading at a discount.
Years To Maturity
Reference formula or conversion factor shown for context.
Results
bond price P ($)
Current fair value of the bond. Bond prices move inversely to interest rates — when rates rise, existing bonds fall in value.
modified duration D_mod (years)
Weighted average time to receive the bond's cash flows (years). Also a price sensitivity measure: duration of 7 means a 1% rise in yields drops the bond price ~7%.
Macaulay duration (years)
Weighted average time to receive the bond's cash flows (years). Also a price sensitivity measure: duration of 7 means a 1% rise in yields drops the bond price ~7%.