// multi-utility computation suite · offline · instant · precise
┌──────────────────────────┐
│ [c] calcalyst_ │
│ computation suite │
└──────────────────────────┘
// select a module to initialize
/ search↵ open firstesc close
// adsenseEMPTY_LEADER_SLOT728×90
// adsenseMOBILE_ANCHOR_SLOT320×50
// keyboard_shortcuts
/focus search
↑↓navigate module list
Enter
open first result from search
open highlighted
compute when module is open
compute when focused in a field
Escclose module · clear selection
⌫
fin.modified-duration Calculator
Calculates modified duration, DV01, and estimated price change for a bond from coupon, maturity, and yield. Modified duration of 7 means the bond price falls approximately 7% if yields rise 1% — DV01 is the dollar value of a 1 basis point yield change.
Inputs
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.
Macaulay Duration
Length of time the process lasts. Ensure units are consistent with rate inputs.
Coupon Freq
Reference formula or conversion factor shown for context.
Results
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%.
DV01 (per $100 face)
Reference formula or conversion factor shown for context.
price change for +1% yield
The computed or recommended price.
Macaulay 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%.
mod D = Macaulay / (1 + y/m)
Reference formula or conversion factor shown for context.
duration risk
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%.