Compute the key risk metrics for any US Treasury bond: modified duration, Macaulay duration, DV01 (dollar value of a basis point), and convexity. All calculations use semiannual compounding per US Treasury convention.

Instructions

  • select a Maturity from the dropdown (1 Mo through 30 Yr)
  • enter a Coupon rate and YTM (yield to maturity) as percentages — defaults are the current par yields
  • optionally change the Face Value (default $100)
  • click GO to compute all metrics

Results

  • Price — the clean price given the coupon rate and YTM
  • Modified Duration — the percentage price change per 1% yield change; the primary interest rate risk measure
  • Macaulay Duration — the weighted-average time to receive all cash flows, in years
  • DV01 — the dollar price change for a 1 basis point move in yield; used to size hedges
  • Convexity — the second-order curvature of the price-yield relationship; higher convexity benefits the bondholder in both directions
  • ΔP (+100bp) — estimated dollar price change for a 100bp rate increase using the duration + convexity approximation

The chart shows the modified duration profile across all standard US Treasury maturities at current par yields.

Use Cases

  • quickly estimate how much a bond's price will move for a given rate change
  • compare DV01 across maturities for hedge ratio construction
  • understand why longer-maturity bonds have more interest rate risk
  • verify duration and convexity values from Bloomberg or other systems

Formulas

For a bond with semiannual coupons:

  • Macaulay Duration = Σ(t × PV(CF_t)) / Price, converted to years
  • Modified Duration = Macaulay Duration / (1 + y/2)
  • DV01 = Modified Duration × Price / 10,000
  • Convexity = Σ(t(t+1) × PV(CF_t)) / (Price × (1+y)²), converted to annual
  • ΔP ≈ −ModDur × ΔY × P + ½ × Convexity × (ΔY)² × P

Per-tenor pages (e.g. /duration/10-year) show live metrics at current par yields for each standard Treasury maturity.