Enter your bond’s nominal value, current price, coupon rate, coupon frequency, settlement date and maturity date to calculate Macaulay Duration and Modified Duration instantly. Free, no signup required.
The face value — the amount the issuer repays at maturity. For most government and corporate bonds this is $1,000, £100 or €1,000 depending on the market. Nominal value determines the size of each coupon payment: a 5% annual coupon on $1,000 nominal pays $50 per year.
The date on which the issuer repays the nominal value and the bond ceases to exist. Together with the settlement date, this defines the remaining life of the bond — the timeframe over which all future cash flows are distributed and weighted in the duration calculation. Longer remaining life always produces higher duration, all else equal.
The date on which you acquire or are evaluating the bond — typically one to two business days after the trade date. The calculator uses this date to determine how many coupon periods remain and how much interest has accrued since the last coupon payment. For a bond already in your portfolio, use today’s date to calculate the current duration.
The bond’s market price expressed as a percentage of nominal value. A price of 97.50 means the bond trades at 97.5% of face value — $975 on a $1,000 nominal bond. Enter the clean price — the market-quoted price excluding accrued interest. The calculator adds accrued interest internally to derive the dirty price used to compute the Yield to Maturity.
YTM is derived from the price you enter and is the discount rate applied to weight each cash flow in the Macaulay Duration formula. Because YTM changes whenever the market price moves, duration changes with every price movement.
The annual interest rate the bond pays, expressed as a percentage of nominal value. A 4% coupon on $1,000 nominal pays $40 per year — $20 every six months on a semi-annual bond. The coupon rate directly affects duration: higher coupons shorten duration because more cash is received earlier, reducing the weighted average time to receipt.
How often the bond pays coupons per year:
Most government bonds pay semi-annually. Many European corporate bonds pay annually. Frequency affects the size of each individual coupon payment and the Modified Duration adjustment factor.
From the six inputs the calculator derives the following:
Accrued Interest — coupon income accumulated since the last payment date up to the settlement date.
Dirty Price — clean price plus accrued interest; the full settlement amount.
Yield to Maturity (YTM) — the annualised return if the bond is purchased at the current price and held to maturity with all coupons reinvested at the same rate.
Macaulay Duration (years) — the present-value-weighted average time to receive all cash flows:
D_mac = Σ [t × PV(CFt)] / Dirty Price
Where each cash flow is discounted at YTM and weighted by its share of the total bond value.
Modified Duration — the bond’s percentage price change per 1% yield move, derived from Macaulay Duration:
Modified Duration = Macaulay Duration / (1 + YTM / n)
Where n = coupon payments per year.
A corporate bond:
| Input | Value |
|---|---|
| Nominal value | $1,000 |
| Maturity date | 15 April 2031 |
| Settlement date | 15 April 2026 |
| Current price (clean) | 98.00 |
| Coupon rate | 4.0% |
| Coupon frequency | Semi-annual |
Remaining life: 5 years exactly. 10 semi-annual coupons of $20 each, plus $1,000 principal at maturity.
The clean price of 98.00 implies a YTM of approximately 4.42% (semi-annual compounding).
Each cash flow is discounted at the semi-annual rate and time-weighted:
| Period | Years (t) | Cash flow | PV at YTM | t × PV |
|---|---|---|---|---|
| 1 | 0.5 | $20 | $19.57 | $9.79 |
| 2 | 1.0 | $20 | $19.15 | $19.15 |
| 3 | 1.5 | $20 | $18.74 | $28.11 |
| 4 | 2.0 | $20 | $18.34 | $36.68 |
| 5 | 2.5 | $20 | $17.95 | $44.88 |
| 6 | 3.0 | $20 | $17.57 | $52.71 |
| 7 | 3.5 | $20 | $17.20 | $60.20 |
| 8 | 4.0 | $20 | $16.84 | $67.36 |
| 9 | 4.5 | $20 | $16.48 | $74.16 |
| 10 | 5.0 | $1,020 | $818.16 | $4,090.80 |
| Total | $980.00 | 4,483.84 |
Macaulay Duration = $4,483.84 / $980.00 = 4.575 years
Modified Duration = 4.575 / (1 + 0.0442/2) = 4.575 / 1.0221 = 4.476
A 1% rise in yields reduces this bond’s price by approximately 4.48% — from $980 to approximately $936.
Because YTM is derived from the current price, duration changes whenever the market price changes.
| Clean price | Implied YTM | Macaulay Duration | Modified Duration |
|---|---|---|---|
| 105.00 | 2.89% | 4.641 years | 4.577 |
| 100.00 | 4.00% | 4.597 years | 4.507 |
| 98.00 | 4.42% | 4.575 years | 4.476 |
| 95.00 | 5.11% | 4.532 years | 4.420 |
| 90.00 | 6.30% | 4.455 years | 4.320 |
As price falls and yield rises, duration shortens. As price rises and yield falls, duration extends toward maturity. A bond does not have a single fixed duration — it has a duration at each price point, which is why portfolio duration requires recalculation whenever prices move.
| Modified Duration | Price change per 1% rate move | Typical bond type |
|---|---|---|
| Under 2 | Under 2% | Short-term bills, floating rate notes |
| 2 – 5 | 2 – 5% | Medium-term governments, 3–7yr corporates |
| 5 – 8 | 5 – 8% | Long investment grade corporates |
| 8 – 12 | 8 – 12% | 20–30yr government bonds |
| Over 12 | Over 12% | Long zero-coupon bonds |
For bonds with embedded options — callable, putable, or mortgage-backed securities — Modified Duration from this calculator overstates or understates actual price sensitivity because it assumes cash flows remain fixed. Use the Effective Duration Calculator for those instruments.
There is no universal “good” duration. ShoPrice is the primary market observable — what you see quoted by your broker or on a Bloomberg screen. YTM is derived from the price. Entering price allows the calculator to also compute accrued interest and dirty price as intermediate outputs, providing a fuller picture of the bond’s economics. If you already know the YTM, you can work backwards to the equivalent price using a bond pricing formula, or simply enter a price of 100 for an at-par bond and adjust from there.rter duration means lower risk but typically lower returns. Longer duration offers higher sensitivity and higher potential yield.
Because coupon payments received before maturity pull the weighted average time forward. A portion of the bond’s total present value arrives in each coupon period — not all at the final maturity date. Only a zero-coupon bond, which pays nothing until maturity, has all its present value at a single future point — making duration equal to maturity exactly.
When price falls, the implied YTM rises. Higher discount rates reduce the present value of all future cash flows, but distant cash flows lose proportionally more value than near-term ones. This shifts the duration weighting toward earlier periods, producing a shorter weighted average time. The relationship also works in reverse: rising prices imply lower yields and longer duration.
Yes. Enter today’s date as the settlement date and the current market price. The calculator will compute the duration of your existing position as of today, reflecting both the time elapsed since purchase and any price changes that have occurred.
Whenever the bond can be redeemed before its stated maturity date, or whenever its cash flows may change depending on where interest rates go. This includes callable corporate bonds, putable bonds, mortgage-backed securities, and bonds with sinking funds. For all of these instruments, the fixed cash flow assumption underlying Macaulay and Modified Duration produces an inaccurate result.
For the complete explanation of Macaulay Duration — including the immunisation theorem, duration drift and how to aggregate duration across a bond portfolio:
👉 What Is Macaulay Duration? — Complete Guide
For Modified Duration in practice — DV01, hedge ratios, barbell vs bullet portfolios and the convexity correction:
For callable bonds, MBS and instruments where cash flows are not fixed
Calculate Bond Yield that pays coupon periodically
Standalone dirty price calculation for bonds traded between coupon payment dates