Bond Duration Calculator
Measure how sensitive a bond price is to interest rates with Macaulay and modified duration.
Bond Duration Calculator
Bond Price
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Macaulay Duration
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Modified Duration
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DV01 (per 0.01% move)
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Yield +1%: price change
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Yield −1%: price change
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PV of each cash flow and the Macaulay balance point
Cash Flows, Present Values and Time Weights
| Period | Time (yrs) | Cash flow (₹) | PV (₹) | Weight (% of price) | Time × weight |
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Assumptions & method
- Macaulay duration = Σ (tₖ × PVₖ) ÷ Price, where tₖ is the time of cash flow k in years and PVₖ is its present value. It is the PV-weighted average time to receive the cash flows, in years.
- Modified duration = Macaulay duration ÷ (1 + y/m), where y is the annual yield and m is payments per year. It estimates the percentage price change per 1% change in yield.
- DV01 = Modified duration × Price × 0.0001: the approximate rupee price change for a 0.01% (one basis point) change in yield.
- The ±1% price changes use the linear approximation ΔP ≈ −ModDur × P × Δy. It is accurate for small moves and overstates falls and understates gains for large moves (see the Bond Convexity Calculator).
- Price is computed on a coupon date with no accrued interest. The yield is an annual nominal rate compounded at the coupon frequency, and cash flows are fixed.
- A parallel, instantaneous yield shift is assumed. Effective duration for bonds with call or put options is not covered.
Results are estimates based on the figures you enter. They are not guarantees and not financial advice.
What is bond duration?
Duration answers a practical question: if rates move, how much will my bond price move? Macaulay duration is a time measure, the average wait for the cash flows when each is weighted by its present value. For a zero-coupon bond it equals the maturity, and coupons pull it lower because some money arrives early. Modified duration divides by one plus the periodic yield and turns that time into a sensitivity, so a modified duration of 7 suggests about a 7% price move for a 1% yield change. DV01 expresses the same idea per basis point in rupees, which is handy for comparing positions. The table shows each cash flow weight so you can see how much of the price depends on the far-away face value.