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Immunisation Duration Match Calculator

Work out immunisation duration match instantly with clear inputs, formula shown and shareable results.

About Immunisation Duration Match Calculator

Immunisation protects a funded position from small rate moves by matching the duration of assets to the duration of liabilities. Blending a short and a long bond in the right proportions hits the target duration exactly.

Formula

Duration match

w_short = (D_long - D_liab)/(D_long - D_short); w_long = 1 - w_short

D
Duration in years

Worked example

With the default values below, Immunisation Duration Match Calculator returns Weight In Long Asset of 55.556%. Change any input above and every figure here is recalculated in your browser.

Inputs used

Present Value Of Liabilitiesminimum 0
1,000,000
Liability Durationaccepts 0.1–40
8
Short Asset Durationaccepts 0.1–40
3
Long Asset Durationaccepts 0.2–50
12

Results

Weight In Long Asset
55.556%
Weight In Short Asset
44.444%
Amount In Long Asset
$555,555.56
Amount In Short Asset
$444,444.44

Step by step

  1. 1Values used
  2. 2Duration match
  3. 3Weight In Long Asset= 55.556
  4. 4Weight In Short Asset= 44.444
  5. 5Amount In Long Asset= 555,555.56
  6. 6Amount In Short Asset= 444,444.44

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 3 decimal places, so totals built from several rounded parts can differ slightly from the unrounded arithmetic.

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

Frequently Asked Questions

Does duration matching remove all risk?

No. It neutralises small parallel shifts only; twists in the curve and large moves still bite, so convexity should also be matched.

How often must it be rebalanced?

Durations drift as time passes and yields move, so immunised portfolios are re-matched periodically.

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