Measure how sensitive your bond or fixed income portfolio is to interest rate moves. Plug in price scenarios for a small yield shift and see the effective duration instantly.
Enter today's clean price or model price of the bond.
Price when yields decrease by the chosen shock (P-).
Price when yields increase by the chosen shock (P+).
Size of the parallel yield shock in percentage points (e.g., 0.50% = 50 bps).
Price Move per 1% Rate Change
$0.00
Price if Yields Fall: $0.00
Price if Yields Rise: $0.00
Yield Shock: 0.00%
Effective duration estimates how much a bond's price will change when interest rates move. Unlike Macaulay or modified duration, it works for bonds with embedded options because it uses scenario analysis rather than closed-form cash flow timing.
Traders, portfolio managers, and risk teams use effective duration to align portfolios with a benchmark, stress test interest rate moves, and compare securities that have call features, mortgage prepayments, or other optionality.
Deff = (P- - P+) / (2 × P0 × Δy)
P- = Price if yields fall by the chosen shock
P+ = Price if yields rise by the chosen shock
P0 = Current bond price
Δy = Change in yield expressed as a decimal (0.005 for a 0.50% move)
The calculator applies this formula automatically. Try different price paths or yield shocks to see how convexity and optionality impact rate sensitivity.
Suppose a callable municipal bond trades at $1,000. If yields fall by 50 bps the bond might rally to $1,025, but if yields rise by 50 bps it could drop to $975. Plugging those values into the formula with Δy = 0.005 gives an effective duration of roughly 5.00 years.
Current Price
$1,000
Price if Yields Fall
$1,025
Price if Yields Rise
$975
Effective duration is a first-order estimate. Combining it with convexity provides a more complete view of how price changes accelerate for larger yield moves.
Use yield shocks that match your risk policy (e.g., ±25 bps, ±50 bps). Consistent shocks make duration comparisons more meaningful.
Call features, prepayments, and volatility inputs can change quickly. Update your effective duration anytime rates, volatility, or embedded option assumptions move.
Evaluate how your fixed income holdings respond before rates shift. Use this calculator to pressure test portfolios and communicate risk clearly.
