Finance & Investment · Bonds & Fixed Income
Bond Duration & Convexity Calculator
Calculate a bond's Macaulay and modified duration, convexity and DV01, and estimate how much its price would change if yields moved — compared with the exact repriced value.
Your inputs
Quick start — try a typical case
₹ 1 thousand
Amount repaid at maturity (₹100 for G-Secs, ₹1,000 or more for corporate bonds).
100 basis points = 1 percentage point.
Your result Live
Modified Duration
6.948 years
Price changes about 6.95% for each 1 percentage point move in yield (in the opposite direction)
- Macaulay Duration
- 7.209 years
- Convexity
- 62.194
- Price at Current Yield
- ₹1,000
- DV01 (price change per 0.01 %)
- ₹0.6945
- Estimated Price Change for 100 bp
- -6.637% (duration + convexity)
- Exact Price Change (repriced)
- -6.647% → ₹933.53
How this is calculated
Macaulay D = Σ t·PV(CFₜ) ÷ Price · Modified D = D ÷ (1 + y/f) · ΔP/P ≈ −D_mod·Δy + ½·Convexity·Δy²
- t
- Time of each cash flow in years
- Convexity
- Σ CFₖ·k(k+1)·(1+y/f)^−k ÷ [P·(1+y/f)²·f²] — the curvature of the price–yield relationship
Duration measures interest-rate risk. Macaulay duration is the weighted-average time until you get your money back; modified duration converts it into price sensitivity — a duration of 7 means about a 7 % fall in price if yields rise by 1 percentage point. Convexity corrects the estimate for larger moves: bond prices rise more when yields fall than they fall when yields rise.
Assumptions & sources
- Valued on a coupon date with a flat yield; fixed coupons, no default and no embedded options.
- Duration and convexity in years (annualised from coupon periods).
- 1CFA Program Curriculum — Quantitative Methods: The Time Value of Money — CFA Institute
- 2Investments (Bodie, Kane & Marcus), chapters on returns, compounding and the time value of money — McGraw-Hill
- 3Government securities — investor FAQs — Reserve Bank of India
Calculator ID FIN-BOND-DUR-001 · version 1.0.0
Common questions
What does a modified duration of 6 mean?
If yields rise by 1 percentage point, the bond's price falls by roughly 6 % (and rises about 6 % if yields fall), before the convexity adjustment.
Why do debt funds publish duration?
It tells you how much the fund's NAV moves when interest rates change. Longer duration means bigger gains when rates fall and bigger losses when they rise.