Fixed Income
Bond pricing, YTM, duration, convexity, PV01, spot/forward/par rates, and credit spreads.
Bond Pricing & Yields
Clean Price
P = Σ C/(1+y)ⁿ + F/(1+y)ᴺ
Dirty Price
P_dirty = P_clean + Accrued
Current Yield
CY = Annual coupon / Clean price
Yield to Maturity
P = Σ C/(1+YTM)ⁿ + F/(1+YTM)ᴺ — solve numerically
Duration & Convexity
Macaulay Duration
D = Σ tᵢ·PVᵢ / Σ PVᵢ
Modified Duration
MD = D / (1 + y)
Price change (duration only)
ΔP/P ≈ −MD·Δy
Price change (with convexity)
ΔP/P ≈ −MD·Δy + ½·C·(Δy)²
Related calculator
Bond YTM
Calculate yield to maturity, current yield, and clean/dirty price of a bond.
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