Formula
- Use the units shown beside each field.
- Results update automatically whenever you change an input.
- Displayed values use up to four decimal places, or scientific notation for very small or large numbers. Calculations use standard floating-point arithmetic; exact integer and fraction tools identify their own precision rules.
- Requires repriced values for equal opposite yield shifts. Does not price the bond or model its embedded options.
Example Calculation
- Price when yield falls: 102
- Price when yield rises: 98
- Base price: 100
- Symmetric yield shift: 100 bp
Price when yield falls = 102; Price when yield rises = 98; Base price = 100; Symmetric yield shift = 100 bp. The primary result is 2.
Frequently asked questions
How do I use this calculator?
Enter price when yield falls, price when yield rises, base price, symmetric yield shift. The result updates automatically. Use Reset to restore the example values.
What method does it use?
duration=(P_down−P_up)/(2P0 × yield shift decimal).. Requires repriced values for equal opposite yield shifts. Does not price the bond or model its embedded options.
Why might a rounded result differ?
The calculation keeps full numeric precision internally, then rounds the displayed result. Rounding intermediate steps by hand can produce a slightly different answer.
Are my inputs saved online?
No. This calculator processes your inputs in your browser. A recently used list stores only calculator names on this device, not your entered values.
Check the assumptions and units before using this result. Read about calculation methods.