Macaulay & Modified Duration Calculator

Written by:Abraham A.
Location:Bonds

Finance.ThinkAndDone.com provides you online and windows calculators to calculate Macualay and modified duration of a bond when you provide the bond's maturity value, market rate of return, coupon rate, and years till maturity. The bond duration is the time period that balance the discounted series of interest payments and the discounted maturity value. Think of it as balancing the cash stream on a scale where the balancing point is the duration of the bond.

Location: Bonds

Macaulay & Modified Duration Calculator

Developed by:Emma A.
Location:Financial Calculators
type in the authorization code in the box located below:

Results

Duration: 7.565 years
Modified Duration: 7.38 years

Input Data

Please enter the maturity value of the bond (debt) 
Please enter the market rate of return (YTM) of the bond (debt) 
Please enter the coupon rate  
Please enter the years to maturity  


Instructions

To use this online calculator to calculate Macaulay duration and Modified duration of a bond, you need to type in few characteristics of the bond. Assume we have a 7% $1000, semi annual coupon paying bond with 10 years to maturity. Given that similar bonds in the market have a rate of return of 5%. Follow the step outlined below to find duration of this bond

  • You have to enter 1000 as par value of the bond
  • Then you have to enter 7 as YTM
  • The coupon rate is entered as 5
  • Key in 10 for Years to maturity
  • You have to select semi-annual compounding from the menu since the bond pays interest twice in a year
  • Finally a click on CALCULATE button will display the Macaulay duration of 7.565 years and Modified duration of 7.38 years
    • Location: Financial Calculators