Bond Yield Calculator
YTM (annual)
5.661689 %
Current yield
5.263158 %
Macaulay duration (yrs)
7.927278
Modified duration
7.709047
Convexity
72.408905
FAQ
Fixed income
What is YTM?
Yield to Maturity: annualized return if the bond is held to maturity, assuming coupon reinvestment at the same rate.
Macaulay vs modified duration?
Macaulay: weighted-average time of cash flows (years). Modified = Macaulay/(1+y): % price change for a +1% yield move. Convexity corrects the linear approximation.
What is needed to work out the yield of a bond?
The face value, the market price, the annual coupon as a percentage, the years left to maturity and how many coupons are paid each year.
What does yield to maturity mean?
Yield to maturity is the annualised return you get by holding the bond to the end, assuming every coupon received is reinvested at that same rate.
What is the difference between Macaulay and modified duration?
Macaulay duration is the average timing of the cash flows weighted by present value, in years. Modified duration divides it by (1+y) and estimates the percentage move in price.