Bond calculator: price, yield and duration
Calculate the price or yield to maturity of a bond, its duration, convexity, coupon schedule and the effect of a change in interest rates.
Interest paid annually, as a percentage of face value.
Coupon payments
I know it
Market rate for debt of the same maturity and the same risk.
- Yield to maturity
- 4.50%
- Annual return if the bond is held to maturity.
- Price (clean price)
- 97.05%
- That is €9,705 for your face value.
- Accrued interest
- 0.000%
- Interest accrued since the last coupon payment, paid in addition to the price.
- Current yield
- 4.12%
- Annual coupon divided by price.
- Macaulay duration
- 6.23 years
- Weighted average time to recovery of cash flows.
- Modified duration
- 5.96
- If rates rise by one point, the price falls by roughly this percentage.
- Convexity
- 43.8
- Corrects the duration approximation for large rate movements.
- Total coupons received
- €2,800
- 7 payment(s) until maturity, then repayment of €10,000.
If market interest rates change
| Rate changes | Estimated price | Impact on your face value |
|---|---|---|
| −2 points | 109.47% | +€1,242 |
| −1 point | 103.05% | +€600 |
| +1 point | 91.48% | −€557 |
| +2 points | 86.33% | −€1,072 |
Estimated using duration and convexity. If held to maturity, the bond is repaid at par regardless of the level of rates (excluding default).
Cash flow schedule
| In | Type | Amount |
|---|---|---|
| 1.00 yr | Coupon | €400.00 |
| 2.00 years | Coupon | €400.00 |
| 3.00 years | Coupon | €400.00 |
| 4.00 years | Coupon | €400.00 |
| 5.00 years | Coupon | €400.00 |
| 6.00 years | Coupon | €400.00 |
| 7.00 years | Coupon and redemption | €10,400.00 |
Formulas: price = Σ coupon / (1 + y/f)^k + 100 / (1 + y/f)^n; modified duration = Macaulay duration / (1 + y/f). The calculations assume an issuer that honors all of its payments. They take into account neither fees, nor taxes, nor any possible early redemption.
How this calculation is made
A bond's price is the present value of all its future cash flows (coupons, then repayment of face value), discounted at the yield required by the market:
Price = Σ coupon / (1 + y/f)^k + 100 / (1 + y/f)^n
where y is the annual yield to maturity, f the number of coupons per year and n the number of remaining coupons. When the price is known, the yield is the value of y that equates both sides (numerical solution).
Modified duration = Macaulay duration / (1 + y/f)
- Modified duration measures price sensitivity: −Dm × change in rates, adjusted for convexity.
- The price shown is "ex-coupon"; the buyer also pays the accrued interest since the last coupon payment.
- The calculations assume the issuer meets all its payments (no default) and does not redeem early.
The results are simulations based on the stated assumptions. They do not predict future results and do not take your personal situation into account. The information published on TimeLinq is for informational purposes only and does not constitute investment advice. Investing involves a risk of capital loss.