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fin.duration-convexity-bond Calculator
Calculates bond price change from both the duration and convexity terms for a given yield change. The convexity adjustment adds accuracy for large yield moves — for a 2% yield change, omitting convexity can cause a 0.5–1% error in the estimated price change.
Inputs
Face Usd
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 Pct
Annual interest a bond pays on its face value. A 5% coupon on a $1,000 bond pays $50/year regardless of what the bond trades for in the market.
Ytm Pct
Total annualised return if you buy the bond now and hold to maturity, assuming coupons are reinvested. Higher YTM means the bond is trading at a discount.
Years N
Reference formula or conversion factor shown for context.
Freq
Reference formula or conversion factor shown for context.
Results
bond price P ($)
Current fair value of the bond. Bond prices move inversely to interest rates — when rates rise, existing bonds fall in value.
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%.
modified duration
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%.
convexity
Sample size or count used in the calculation.
ΔP/P ≈ −D_mod·Δy + 0.5·Convexity·(Δy)²
Sample size or count used in the calculation.
price check
A pass/fail verification against the applicable code, standard, or threshold.