Duration Gap Analysis Calculator

Work out duration gap analysis instantly with clear inputs, formula shown and shareable results.

About Duration Gap Analysis Calculator

The duration gap measures how the economic value of equity responds to rates, weighting liability duration by the leverage ratio. A positive gap means asset values fall further than liability values when rates rise, eroding equity.

Formula

Duration gap

Gap = D_assets - D_liabilities × (L/A); ΔEVE = -gap × assets × Δrate

Worked example

With the default values below, Duration Gap Analysis Calculator returns Leverage-Adjusted Duration Gap of 1.7800. Change any input above and every figure here is recalculated in your browser.

Inputs used

Duration Of Assetsaccepts 0–30: 3.4
Duration Of Liabilitiesaccepts 0–30: 1.8
Total Assetsminimum 0: 1,200,000,000
Total Liabilitiesminimum 0: 1,080,000,000

Results

Leverage-Adjusted Duration Gap: 1.7800 years
Change In Economic Value Of Equity For A 1% Rate Rise: -$21,360,000.00
Liability Duration Adjusted For Leverage: 1.6200 years
Equity As Share Of Assets: 10.000%

Step by step

1Values used
2Duration gap
3Leverage-Adjusted Duration Gap= 1.7800 years
4Change In Economic Value Of Equity For A 1% Rate Rise= -21,360,000.00
5Liability Duration Adjusted For Leverage= 1.6200 years
6Equity As Share Of Assets= 10.000

Assumptions and limits

The result is derived only from the 4 inputs listed above. Anything not among them is not part of the calculation.
In particular, this calculator does not take inflation, tax, fees or charges or compounding frequency into account.
Figures are rounded for display to 4 decimal places, so totals built from several rounded parts can differ slightly from the unrounded arithmetic.
Figures are estimates based on the inputs given. Bank charges, regulatory minima and market rates change and differ between institutions and jurisdictions. This is not financial advice — confirm with your bank or treasury policy.

How these calculators are built and tested is described on the Methodology page. If a figure looks wrong, please report it.

Figures are estimates based on the inputs given. Bank charges, regulatory minima and market rates change and differ between institutions and jurisdictions. This is not financial advice — confirm with your bank or treasury policy.

Frequently Asked Questions

Why adjust for leverage?

Because liabilities are smaller than assets, so their duration has proportionally less effect on equity value.

How is the gap closed?

By shortening asset duration, lengthening liability duration, or using interest rate swaps to synthesise either.