Effective Duration Calculator
FinanceCalculate a bond's effective duration, its price sensitivity to a change in yield.
Effective Duration
The approximate percentage change in bond price for a 1% change in yield.
Bond Price (at Current YTM)
$798.70
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Frequently Asked Questions
How is effective duration calculated?
Effective Duration = (Price if yield falls - Price if yield rises) / (2 x Current Price x Yield Change), where each bond price is computed by discounting all coupon and principal cash flows at the given yield.
How is effective duration different from Macaulay duration?
Effective duration is estimated by directly repricing the bond at shifted yields, which works even for bonds with embedded options. Macaulay duration is a weighted-average time to cash flows, calculated analytically rather than by repricing.
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