Tool · Calculator
Bond duration calculator.
How rates move bond prices+1.00 pp
−3.00 pp0+3.00 pp
Duration
Current price (par)
Price after rate change
Price change
Short (2y)
D ≈ 1.9
$1,000
$981
-1.9%
Intermediate (7y)
D ≈ 6.5
$1,000
$935
-6.5%
Long (20y)
D ≈ 14.5
$1,000
$856
-14.4%
Ultra-long (30y)
D ≈ 18.5
$1,000
$816
-18.4%
Rule of thumb: ΔPrice ≈ −Duration × ΔRate. The price approximation breaks down for very large rate moves (convexity), but the qualitative message holds.
From Lesson 06
Bonds, in earnest
This calculator is the punchline of a longer lesson on bonds: what a coupon really is, why prices move the opposite way to rates, the shape of the yield curve in normal, flat and inverted regimes, and how duration ties it all together. Read the lesson if the math here surprises you.
Read the full lesson →