Measure a bond’s interest-rate sensitivity through Macaulay and modified duration.
Duration is the weighted average time to receive the cash flows, and dividing by one plus the yield converts it into a price sensitivity. A modified duration of 7 means roughly a 7% price fall for a one-point rise in yields. Duration is the single most important risk number for a bond portfolio, because it converts an interest-rate view directly into an expected price move.
Bond Duration
Modified duration = Macaulay duration ÷ (1 + yield); price change ≈ −modified duration × yield change
Modified duration = Macaulay duration ÷ (1 + yield); price change ≈ −modified duration × yield change Duration is the weighted average time to receive the cash flows, and dividing by one plus the yield converts it into a price sensitivity. A modified duration of 7 means roughly a 7% price fall for a one-point rise in yields.
Duration is the single most important risk number for a bond portfolio, because it converts an interest-rate view directly into an expected price move.
This calculator takes 4 inputs: Face value, Annual coupon rate, Market yield, Years to maturity. The pre-filled defaults are a realistic starting point — replace them with figures from your own environment for a result you can act on.