Modified Duration Calculator
Calculate Macaulay duration, modified duration, and dollar duration to measure bond price sensitivity to interest rate changes.
Bond Details
$
%
%
years
Modified Duration measures the percentage price change for a 1% change in yield. Higher duration means greater interest rate sensitivity.
Modified Duration
7.922
years (price sensitivity measure)
Macaulay Duration
8.081 yrs
Bond Price
$1,081.76
Duration Metrics
Macaulay Duration8.0809 years
Modified Duration7.9225 years
Dollar Duration (DV01)$85.70
Effective Duration15.8450 years
Price Sensitivity
If rates rise by 1%:
Price falls by $85.70
(7.92% decrease)
If rates fall by 1%:
Price rises by $85.70
(7.92% increase)
Understanding Duration
- - Longer maturity = Higher duration
- - Higher coupon = Lower duration
- - Higher yield = Lower duration
- - Zero-coupon bonds have duration = maturity