Bond Convexity Calculator

Your details

The par value the issuer repays at maturity, typically 1,000 for corporate bonds.
USD
Stated coupon as a percentage of face value. Enter 5 for 5%.
%
The annualised return an investor expects if they hold the bond to maturity. Enter 4 for 4%.
%
Time remaining until the bond matures and face value is repaid.
years
How often coupons are paid each year. Most US bonds pay semi-annually.
A hypothetical parallel shift in yield (in basis points, 100 bps = 1%). Used to estimate the price impact using duration and convexity.
bps
Convexity
75.4725

Second-order sensitivity of bond price to yield changes (years squared).

Bond price1,081.7572USD
Macaulay duration8.0809years
Modified duration7.9225
DV010.857USD
Estimated price change-81.6199USD
Estimated new price1,000.1372USD
Coupon per period25USD
Macaulay Duration (yrs)8.0809
Modified Duration7.9225
Convexity75.4725

Bond convexity is 75.4725, modified duration is 7.9225 years.

  • Modified duration of 7.92 means a 100 bps yield rise would reduce price by approximately 7.92% based on duration alone.
  • Positive convexity of 75.47 means the bond gains more in price when yields fall than it loses when yields rise by the same amount.
  • For a +100 bps yield shift, the convexity adjustment adds +4.08 USD on top of the duration estimate.
  • Longer maturities and lower coupon rates increase both duration and convexity, making prices more sensitive to yield changes.

Next stepFor callable bonds, use effective convexity (which can be negative) rather than this cash-flow convexity formula.

 = Powered by OnlyCalculators