BONDS Bond Analytics

This calculator allows for calculation of price, yield, duration, and other statistics for various types of bonds, including US Treasuries, Munis, Corporates, and Japanese Governments.

Inputs

Clean Price The price or yield of the security, depending on Input Basis

Redemption Value The value of the bond at redemption (maturity or call)

Coupon Rate The bond's coupon rate in decimal form

Coupon Frequency The number of coupon payments per year

Settlement Date The date of settlement

End of Month Rule 0=Coupon payment always on last day of month; 1=Coupon payment on same date

Par Value The bond par value, with 100 as the default value

Outputs

Yield To Maturity The annualized rate of return on the bond if held until its maturity date, assuming that all payments are made on schedule.

Price To Maturity The present value of the bond's future cash flows discounted at the yield to maturity.

Accrued Interest The interest that has accumulated since the last coupon payment up to, but not including, the valuation date.

Total Price The sum of the bond's price to maturity and any accrued interest, representing the total cost to purchase the bond.

Macaulay Duration (years) The weighted average time in years until the bond's cash flows are expected to be received.

Macaulay Duration (mod) The modified Macaulay duration which adjusts the Macaulay duration for the bond's yield to maturity, measuring interest rate sensitivity.

Convexity (years) A measure of the curvature in the relationship between bond prices and yields, providing a second-order measure of interest rate sensitivity.

Value of an 0.01 The change in the bond's price for a 0.01 (one basis point) change in the yield to maturity.

Value of a 32nd The change in the bond's price for a 1/32nd of a point change in its yield.

Previous Coupon Date The date on which the last coupon payment was made.

Days From Prev Coupon The number of days that have elapsed since the last coupon payment.

Next Coupon Date The date on which the next coupon payment is scheduled to be made.

Days To Next Coupon The number of days remaining until the next coupon payment.

Days In Coupon Period The total number of days in the current coupon period.

Coupons To Maturity The number of coupon payments remaining until the bond matures.

Days To Maturity The total number of days remaining until the bond reaches its maturity date.