Macaulay duration provides an 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, construct hedges, and weigh 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):
- Coupon:
- Yield:
- Payment Frequency:
- Price:
Present Value / Yield Curve
Macaulay Duration
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