Calculate yield to maturity, duration, convexity, current yield, and real yield. The Fisher equation is used for real yield calculation. Free — no sign-up.
The dot shows the calculated YTM relative to benchmark government bond yields (illustrative).
Quick definitions to help you understand the calculations.
Yield to Maturity (YTM) is the total return expected on a bond if held until it matures. It's the internal rate of return (IRR) of all future cash flows (coupons and face value) discounted back to the current market price. YTM assumes coupons are reinvested at the same rate.
Macaulay Duration is the weighted average time to receive the bond's cash flows, in years. Modified Duration measures the price sensitivity of a bond to changes in yield: approximately, for a 1% change in yield, the bond price will change by (Modified Duration)%. Duration is higher for bonds with lower coupons and longer maturities.
Convexity measures the curvature of the price-yield relationship. Duration provides a linear approximation, but convexity captures the fact that bond prices rise more for a yield decrease than they fall for an equivalent yield increase. Positive convexity benefits bondholders. The higher the convexity, the more the bond price will gain when yields fall, and lose less when yields rise.
Nominal yield is the yield without adjusting for inflation. Real yield reflects the purchasing power return and is calculated using the Fisher equation: (1 + nominal yield) / (1 + inflation rate) − 1. For example, a nominal YTM of 6% with 2.5% inflation gives a real yield of approximately 3.41%.
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