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Duration Calculator for Bonds

Measure a bond’s sensitivity to interest rate changes with Macaulay, Modified, and Effective Durations

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Calculate Bond Duration

Enter the bond’s cash flows, yield to maturity, compounding periods, and price scenarios to calculate Macaulay, Modified, and Effective Durations. All monetary values should be in GHS.

Number of periods until bond maturity (e.g., 2 for semi-annual coupons over 1 year).
Annual yield to maturity of the bond (%). Find in bond documentation or gse.com.gh.
Number of compounding periods per year (e.g., 2 for semi-annual).
Current market price of the bond in GHS.
Bond price if yield decreases by 1% (GHS).
Bond price if yield increases by 1% (GHS).
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How to Use the Duration Calculator

Follow these steps to calculate the duration of a bond.

  1. Select Number of Periods

    Choose the number of periods until bond maturity (e.g., 2 for semi-annual coupons over 1 year).

  2. Enter Cash Flows

    Input the cash flows (coupons and principal) for each period in GHS.

  3. Enter Yield to Maturity

    Provide the annual yield to maturity (%). Check bond documentation or gse.com.gh.

  4. Enter Compounding Periods

    Input the number of compounding periods per year (e.g., 2 for semi-annual).

  5. Enter Bond Prices

    Provide the initial bond price and prices if yield drops or rises by 1% in GHS.

  6. Calculate and Review

    Click “Calculate” to compute Macaulay, Modified, and Effective Durations. Review the results to assess interest rate risk.

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