Bond Calculator

Bond Calculator - Financial Calculator


  • Bond Value:
  • Maculay Duration:
  • Modified Duration:
  • Convexity:

Bond Valuation Concept


Definitions of Bond Valuation


Bond Valuation

The determination of a bond's fair price is defined as bond valuation [1].


Face Value

The printed amount on the bond is called as face value [2].


Coupon Rate

Coupon rate is the rate at which the bond pays interest on its face value at regular time intervals until the redemption date [2].


Bond Value Formula


Let

= Face Value
= Coupon Rate
= Yield to Maturity
= Number of Years
= Payment Frequency

= Cash Flow
= Coupon Payment
= Bond Value
= Maculay Duration
= Modified Duration
= Convexity

Coupon Payment can be calculated as the following:


We can calculate Bond Value by using the following formula:


Then, Maculay duration can be calculated as follows:


We can also calculate Modified Duration:


Then, convexity can be calculated as the following:


where

, if
, otherwise.

and is the present value function.


Examples


Example 1

Input

Face Value = 1000
Coupon Rate = 8%
Yield to Maturity = 8%
Years = 6
Frequency = Semiannually

Output

Bond Value = 1000
Maculay Duration = 4.88
Modified Duration = 4.69
Convexity = 27.227

Example 2

Input

Face Value = 1000
Coupon Rate = 14
Yield to Maturity = 16
Years = 7
Frequency = Quarterly

Output

Bond Value = 916.685
Maculay Duration = 4.454
Modified Duration = 4.282
Convexity = 25.057

References

1. Bond valuation (n.d.). Retrieved August 18, 2016, from https://en.wikipedia.org/wiki/ Bond_valuation

2. Bonds and Bond Pricing. (n.d.). Retrieved from http://www.mysmu.edu/faculty/ yktse/FMA/S_FMA_6.pdf