Calculator and spreadsheet
Bond Price, Yield and Duration Calculator
Enter a bond and a market yield. The calculator gives the price, the yield to maturity, the duration, and how far the price moves when rates change.
Use the calculator here
Change any number, and the answer changes at once. The calculator uses the same formulas as the spreadsheet. Enter rates as percentages: for example, type 4.5 for 4.5%.
Results appear here.
- Price at the market yield
- Current yield
- Macaulay duration
- Modified duration
- Price if the yield rises 1 point
- Price if the yield falls 1 point
- Yield to maturity at your price
| Yield | Price | Change | Duration estimate |
|---|
The price is the sum of every payment, valued at the market yield. The calculator assumes that you buy on a payment date, so it has no accrued interest.
Download the spreadsheet
Opens in Microsoft Excel, Google Sheets, Apple Numbers, and LibreOffice Calc. To use it in Google Sheets, upload the file to Drive and open it with Sheets.
How to read the results
The default bond pays a 4% coupon for 10 years. At a market yield of 5%, it is worth $922.05. If the yield rises 1 point, the price falls to $851.23.
Modified duration estimates that move. For this bond it is 8.05, so the estimate is a fall of about 8.05%. The real fall is 7.68%, a little smaller, because the price follows a curve.
To find the yield, enter the price that you pay. At $950.00, the yield to maturity of the default bond is 4.630%.
What is inside the spreadsheet
- Calculator. The inputs, the price, the current yield, both durations, convexity, the price after a move of 1 point, and the yield at a price.
- Cash flows. Every payment, its value today, and the weights for duration. The sum is the price, and the sheet checks it against the PV function.
- Rate moves. The price at yields from 3 points below to 3 points above the market yield, against the duration estimate.
- Cheat sheet. The rules of thumb from the bonds course.
What it does not cover
The sheet assumes that you buy on a payment date, so it has no accrued interest. It does not include bonds that the issuer can call early, default or taxes. For the risk of default, read lesson 3 of the course. For the tax on the interest, read lessons 4 and 7.
Found an error, or think a calculation should work differently? Tell me. Each correction shows its date, the same as in the research reports.
Sources
- Investor.gov, Municipal Bonds, for prices that move up when rates move down and fall when rates rise.