Bond Calculators

Present value of a bond (You buy a bond, reinvesting coupons at the Yield to Maturity. How much do you pay?)
Bond Value = FV { 1/(1+R/m)mN + (Cr/R) (1 - (1+R/m)-mN)}

Years to Maturity:   N = years
Annual Coupon Rate:   Cr = %   as a percentage of the Maturity Value
Coupons per Year:   m =
Bond Value at Maturity:   FV = $
Yield to Maturity:   R = %   expressed as a percentage
Bond Value = $

The Yield to Maturity on a bond
Current Price = FV { 1/(1+R)N + (Cr/R) (1 - (1+R)-N)} ... solved for R (using a gradient method)

Years to Maturity:   N = years
Annual Coupon Rate:   Cr = %   assuming a single annual coupon
Face Value (value at maturity):   FV = $
Current Price = $
Yield to Maturity:   R = %

If there's a 100 basis point DECREASE in YTM (new YTM becomes YTM-1%), what's the (approximate) percentage INCREASE in Bond Price?
Macauley Modified Bond Duration: BD = 1/(1+y){(1+y)/y - [1+y + n(c-y)] / {c[(1+y)n - 1] + y}}

Yield per coupon period:   y =%   for 2 periods per year, divide annual yield by 2 to get the yield per period !!
Number of periods to Maturity:   n =   for 3 periods per year, multiply years to maturity by 3 to get the number of periods!!!
Coupon Rate per period:   c =%   for 4 periods per year, divide the annual coupon rate by 4 to get the rate per period!!!!
Modified Duration =   which gives the (approximate) percentage increase in Bond Price for a 100 basis points decrease in Yield

Home page Econ 448