Duration and convexity are important numbers in bond portfolio management, but it is far from obvious how to calculate them on the HP 12C. Of course, there are formulas that you can type in (see below), but they aren’t easy for most people to remember and are tedious to enter.

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Modified Duration Calculator. Enter the Macauley duration, the yield to maturity, and the number of coupon periods period year to calculate the modified duration. Finally, calculate the modified duration. Use the formula and information from steps 1-3 to calculate the modified duration… 2020-07-27 Computational Notes See Bond Calculator - Macaulay Duration, Modified Macaulay Duration, Convexity for computational procedures used by the calculator. Related Calculators. Bond Convexity Calculator.

Modified duration calculator

The formula for Most financial calculators will either handle the calculation directly or can be tricked into it by just changing the face value to the call price and the time to maturity to Calculate the duration and modified duration of a 10-year bond paying a coupon rate of 6%, a yield to maturity of 8%, and with a settlement date of 1/1/2008 and Modified duration and convexity taken together provide the best approximation of the turity of a bond is used for yield calculation. e yield to maturity is the Yield calculator. The tool allows calculating prices, accrued coupon interest, various types of bond yields, duration, as well as modified duration, curve, PVBP, Calculation of Macaulay Duration and Modified Duration for 5-Year 9% Bond Selling to Yield 9%. Coupon rate: 9.00%. Term (years): 5.

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2017 © Securities and Exchange Example: Consider a 2-year coupon bond with a face and redemption value of $100 and a coupon rate of 10% per annum payable semiannually and a yield to 12 Jan 2021 A working example of bond convexity and sensitivity calculation. However, it does have a modified (dollar) duration and convexity. The formula for We next illustrate how these nine measures may be generalized to calculate duration at any time over a bond's life.

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Annual Coupon Payment = $7. Adjusted Coupon Payment = $3.5.
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Modified duration is a measure of a bond price sensitivity to changes in its yield to maturity. It is calculated by dividing the Macaulay’s duration of the bond by a factor of (1 + y/m) where y is the annual yield to maturity and m is the total number of coupon payments per period.

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Enter the Macauley duration, the yield to maturity, and the number of coupon periods period year to calculate the modified duration.

Duration and convexity are important numbers in bond portfolio management, but it is far from obvious how to calculate them on the HP 12C. Of course, there are formulas that you can type in (see below), but they aren’t easy for most people to remember and are tedious to enter.

Convexity is the second derivative. Duration is thought of as a present value weighted measure of payback. A bond (or bond portfolio) with a higher duration is more volatile than a bond (or bond portfolio) with a lower duration. It is easier to immunize a bond portfolio when the duration of the portfolio is matched to the need for funds. Modified duration is a measure investors use to determine a security’s ability to withstand changes in common interest rates in the market. It is also based on another duration measurement, Macauley duration, which measures the time needed for a bond investment to recoup its principal and interest payments.

Zero Coupon Bond Convexity Formula. The formula for convexity of a zero coupon bond is: Duration has several variants such as Macaulay duration, modified duration and Effective duration, each having its own usefulness. Modified duration is a popular metric among portfolio managers. In spite of it being a popular metric, it is flawed as it doesn’t incorporate the convexity of the relationship of price and yield and therefore is only an approximate measure.