Grizzly Bulls

Bond Yield & Duration Calculator

Translate a fixed-rate bond's price and coupon schedule into yield-to-maturity, duration, convexity, and approximate interest-rate sensitivity. Add one call scenario when you want a simple maturity-versus-call yield comparison.

Bond assumptions

Enter the principal repaid at maturity for the bond amount you are modeling, such as $1,000.
Enter the dollar price for the same face amount. For a $1,000 bond quoted at 95, enter $950.
Use the stated annual coupon rate. Enter 0 for a zero-coupon bond.
The maturity must land on a coupon date for the selected payment frequency.
This calculator assumes the next coupon is exactly one full coupon period away.
Use the call scenario only when you want to compare maturity with one entered issuer call date and call price.

Yield & rate-risk result

$50.00Annual coupon cash flow
5.263%Current yield
5.662%Yield to maturity · nominal annual rate
5.742%Effective annual yield from the solved periodic YTM
7.927 yearsMacaulay duration to maturity
7.709 yearsModified duration to maturity
72.409Convexity to maturity · years²
-7.347%Approx. price change if yield rises 100 bp
8.071%Approx. price change if yield falls 100 bp

$50.00 discount to face value. A duration-plus-convexity approximation puts the modeled price near $880.20 after a +100 bp parallel yield move and $1,026.68 after a -100 bp move. These are local sensitivity estimates, not price forecasts.

How price becomes yield

Current yield looks only at one year of coupon income relative to the entered price. Yield to maturity goes further: it solves for the periodic discount rate that makes the present value of every remaining coupon plus principal repayment equal the entered market price.

Current yield = annual coupon ÷ market price
Bond price = Σ coupon cash flow ÷ (1 + periodic yield)t + face value ÷ (1 + periodic yield)n
Quoted YTM = solved periodic yield × coupon payments per year
Effective annual yield = (1 + periodic yield)payments per year − 1

The calculator solves the yield numerically from your assumptions. It does not fetch a bond quote, security master, coupon schedule, credit rating, or issuer data.

Duration and convexity describe local rate sensitivity

Macaulay duration is the present-value-weighted average timing of the maturity cash flows. Modified duration translates that timing into a first-order estimate of price sensitivity to a small yield change. Convexity adds the standard second-order curvature adjustment.

Approximate fractional price change ≈ −modified duration × Δyield + ½ × convexity × (Δyield)²

The ±100 bp examples hold the entered cash-flow schedule fixed and move the solved maturity yield in parallel. They do not model credit-spread changes, curve twists, changing liquidity, default, taxes, transaction costs, or option-adjusted duration.

Important settlement and callable-bond limits

This first release assumes the next coupon arrives exactly one full coupon period from the valuation date. It does not calculate accrued interest or fractional coupon periods, so a transaction settling between coupon dates needs a settlement-aware price/yield calculator.

The optional call scenario assumes the call happens on an entered coupon date and uses the same coupon until that redemption. The displayed duration and convexity remain maturity-based and are not option-adjusted measures for a callable bond.

Yield to maturity is an internal-rate-of-return calculation under the entered contractual cash flows. Realized return can differ because coupon reinvestment rates change, an issuer can default or exercise an option, and an investor can sell before maturity. FINRA similarly distinguishes current yield, yield to maturity, yield to call, and yield to worst. Read FINRA's bond yield overview.

Related Grizzly Bulls tools

If you are comparing long-horizon portfolio assumptions rather than one bond's contractual cash flows, use the Portfolio Monte Carlo Lab. For historical portfolio rate and drawdown behavior, use the Portfolio Risk Lab. For compound-growth planning without bond-specific cash flows, use the Savings & Investment Calculator.