Macaulay Duration & Price Yield Curve
For fixed coupon bonds with 100 par value
Macaulay duration provides a estimate of the volatility or sensitivity of the market value of a bond or portfolio of bonds to changes in interest rates. Many managers use duration to help measure the "risk" of their portfolios, constructing hedges, and in weighting arbitrage trades. Move the scroll bars below for maturity, coupon, and yield, and insert the coupon frequency, to see the resulting calculation of Macaulay duration and estimated present value.
- Maturity (in Years):
- Payment Frequency:
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