Bond Duration & Convexity Calculator
Measure a bond's interest-rate risk: Macaulay and modified duration, convexity and rupee PVBP, plus the exact repriced change for standard yield shocks so you can see convexity working.
Bond details
Risk metrics
| Macaulay duration | — |
| Convexity | — |
| Clean price (per ₹100) | — |
| PVBP per ₹100 face | — |
| PVBP on your holding | — |
| Yield move | Duration est. | Exact reprice | ₹ P&L |
|---|
What convexity adds to duration
A bond's price/yield relationship is a curve, not a line. Duration is the slope of that curve at today's yield, which approximates small moves well. For a 100 or 200 bps shock the straight line and the curve part ways, and the difference favours the bondholder: prices drop less than duration predicts and gain more. That's positive convexity, and it's why the "exact reprice" column in the table above beats the duration estimate every time.
Practical uses
- Sizing rate risk: a ₹10 lakh holding with modified duration 6 loses roughly ₹6,000 per 10 bps rise in yields. If that number ruins your sleep, shorten the maturity.
- Comparing bonds fairly: a 10-year G-sec and a 3-year NCD at the same yield are utterly different risks. Duration puts a number on it.
- Matching horizons: hold a bond whose Macaulay duration equals your investment horizon and one-off rate moves roughly cancel out, because reinvestment gains offset price losses.
Long-duration G-secs rallied hard through the 2025 rate-cut cycle on this same mechanism, which is worth remembering when duration looks like a pure downside. Compute your bond's yield first with the YTM calculator, then check its risk here.
Frequently asked questions
What does modified duration actually tell me?
It's the approximate % change in a bond's price for a 1% (100 bps) move in its yield. Modified duration 5 ⇒ price falls ~5% if yields rise 1%, gains ~5% if they fall 1%. For most bond holdings it's the one risk number worth knowing.
Macaulay vs modified duration: which one do I use?
Macaulay duration is the weighted-average time (in years) to receive the bond's cashflows, which is useful for matching liabilities and for the intuition. Modified duration = Macaulay ÷ (1 + yield/frequency), and that's the price-sensitivity number. For risk questions, use modified.
Why does the exact repriced change differ from the duration estimate?
Duration is a straight-line approximation to a curved price/yield relationship. Convexity is the curvature: actual prices fall less than duration predicts when yields rise, and rise more when yields fall. The gap grows with the size of the yield move, so the table above shows both numbers side by side.
What's the duration of a bond portfolio or ladder?
The market-value-weighted average of the individual durations. A 5-rung ladder from 1 to 5 years has a duration near 3. You can build one with the bond ladder tool.
Related tools & guides
Educational tool, last reviewed July 2026. Results are estimates based on your inputs and standard market conventions; actual traded prices, taxes and platform charges may differ. Not investment advice; see the disclaimer.