Effective Duration Calculator

Your details

The par or principal amount repaid at maturity.
USD
Annual coupon as a percentage of face value. Use 0 for a zero-coupon bond.
%
How often coupons are paid per year.
Time remaining until the bond repays its face value.
years
The annualized discount rate (market yield) used to price the bond. For callable or putable bonds, use the option-adjusted spread instead.
%
The parallel yield shift used in the effective duration formula. 1% (100 bps) is the conventional choice; smaller values give a more local estimate.
%
Effective DurationLong Duration
7.5458years

Approx. % price change per 1% yield move (numerical, price-based)

Macaulay Duration7.7976years
Modified Duration7.534years
Effective Convexity70.0077years²
Bond Price857.88USD
Approx. Price Change (per 1% rate rise)-64.73USD
Coupon per Period25USD
7.5458 years
Very Short<1Short1-3Intermediate3-7Long7-12Very Long12+

Effective duration is 7.5458 years.

  • A 100 basis point (1%) rise in yields would reduce the bond price by roughly 7.55% (64.73 USD).
  • Modified duration is 7.5340 years, the linear approximation used in daily risk management for option-free bonds.
  • Macaulay duration is 7.7976 years: the weighted average time until you receive your cash flows, and the horizon at which price risk and reinvestment risk exactly offset.
  • At the entered yield, this bond is trading at a discount (below par).

Next stepTo reduce portfolio duration, mix in shorter-maturity or higher-coupon bonds. To increase it, add longer-maturity or zero-coupon issues.

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