BOND DURATION

Basics

Inputs
Rate Convention: 1 = EAR, 0 = APR
Annual Coupon Rate (CR)
Yield to Maturity (Annualized) (y)
Number of Payments / Year (NOP)
Number of Periods to Maturity (T)
Face Value (FV)

0
5.0%
9.0%
2
8
$1,000

Outputs
Discount Rate / Period (RATE)
Coupon Payment (PMT)

Annual Percentage Rate

4.5%
$25

Calculate Bond Duration using the Cash Flows

Period
0
1
2
3
4
5
6
7
Time (Years)
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
Cash Flows
$25.00 $25.00 $25.00 $25.00 $25.00 $25.00 $25.00
Present Value of Cash Flow
$23.92 $22.89 $21.91 $20.96 $20.06 $19.20 $18.37
Weight
2.8%
2.6%
2.5%
2.4%
2.3%
2.2%
2.1%
Weight * Time
0.01
0.03
0.04
0.05
0.06
0.07
0.07
Duration
3.65
Modified Duration
3.49
Calculate Bond Duration using the Formula
Duration
3.65
Modified Duration
3.49
Calculate Bond Duration using the Function (under APR)
Duration
3.65
Modified Duration
3.49

8
4.0
Total
$1,025.00
$720.76 $868.08
83.0% 100.0%
3.32
3.65