CFA fixed income tool
Bond Price / Yield / Duration Calculator
Price a coupon bond, solve yield to maturity, and see where price, duration, convexity, and DV01 come from in the cash-flow schedule.
Load a bond scenario
Inputs
From entered YTM
Entered yield
Approximate price sensitivity
Value of one basis point
- The bond is priced at $925.61, below par by $74.39.
- Solved/entered YTM is 6.000%; current yield is 5.40% because it only uses annual coupon over price.
- Modified duration is 7.665, so DV01 is approximately $0.7095 per 1 bp move.
- The final principal cash flow still dominates PV, but coupon timing reduces duration below maturity.
Cash-flow timeline
Coupon bars show scheduled cash flows; the final bar includes redemption value.
Present value contribution
Discounted bars show how much each period contributes to today's price.
Price-yield curve
The curve should slope downward; convexity explains the bend as yield moves.
Duration contribution
Later cash flows usually carry more duration weight even when their present value is smaller.
Cash-flow table
| Period | Time | Cash flow | Present value | Duration contribution |
|---|---|---|---|---|
| 1 | 0.50 yrs | $25.00 | $24.27 | 0.01311 |
| 2 | 1.00 yrs | $25.00 | $23.56 | 0.02546 |
| 3 | 1.50 yrs | $25.00 | $22.88 | 0.03708 |
| 4 | 2.00 yrs | $25.00 | $22.21 | 0.04799 |
| 5 | 2.50 yrs | $25.00 | $21.57 | 0.05825 |
| 6 | 3.00 yrs | $25.00 | $20.94 | 0.06786 |
| 7 | 3.50 yrs | $25.00 | $20.33 | 0.07686 |
| 8 | 4.00 yrs | $25.00 | $19.74 | 0.08529 |
| 9 | 4.50 yrs | $25.00 | $19.16 | 0.09315 |
| 10 | 5.00 yrs | $25.00 | $18.60 | 0.10049 |
| 11 | 5.50 yrs | $25.00 | $18.06 | 0.10732 |
| 12 | 6.00 yrs | $25.00 | $17.53 | 0.11366 |
| 13 | 6.50 yrs | $25.00 | $17.02 | 0.11955 |
| 14 | 7.00 yrs | $25.00 | $16.53 | 0.12499 |
| 15 | 7.50 yrs | $25.00 | $16.05 | 0.13002 |
| 16 | 8.00 yrs | $25.00 | $15.58 | 0.13465 |
| 17 | 8.50 yrs | $25.00 | $15.13 | 0.1389 |
| 18 | 9.00 yrs | $25.00 | $14.68 | 0.14279 |
| 19 | 9.50 yrs | $25.00 | $14.26 | 0.14633 |
| 20 | 10.00 yrs | $1,025.00 | $567.52 | 6.13127 |
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FAQ
Does this calculator include accrued interest?
No. This version uses discrete coupon cash flows from today to maturity and does not model settlement dates or accrued interest.
Can it price zero-coupon bonds?
Yes. Set the coupon rate to 0% and the tool will price the redemption cash flow, solve YTM, and show duration equal to maturity under standard zero-coupon assumptions.
What duration is shown?
The calculator shows Macaulay duration, modified duration, DV01, and a discrete convexity estimate based on the cash-flow schedule.