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Modified Duration from Macaulay Duration and YTM Calculator

ModDur = MacDur / (1 + YTM / m).

Compute a bond's modified duration directly from its Macaulay duration and yield to maturity, given the coupon frequency: ModDur = MacDur / (1 + YTM/m). Modified duration estimates the percentage price change for a 1 percentage-point change in yield (∂P/P ≈ −ModDur · ΔY).

Nadia Almasri By Nadia Almasri
Published Last reviewed 1 min read

Inputs

yr
%

Results

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How to use this calculator

  1. Fill in the inputs above using the units you already have.
  2. Values update automatically as you type — no submit button needed.
  3. Hover any result row for the underlying formula and intermediate values.

Formula

ModDur = MacDur / (1 + YTM/m).

In depth

Compute a bond's modified duration directly from its Macaulay duration and yield to maturity, given the coupon frequency: ModDur = MacDur / (1 + YTM/m). Modified duration estimates the percentage price change for a 1 percentage-point change in yield (∂P/P ≈ −ModDur · ΔY).