Calculator Inputs
Use yield mode to price a bond, or market price mode to estimate its yield.
Example Data Table
This sample scenario shows how a typical fixed coupon bond can be reviewed with the calculator.
| Face Value | Coupon Rate | Years | Payments/Year | Yield | Clean Price | Dirty Price | Modified Duration |
|---|---|---|---|---|---|---|---|
| $1,000.00 | 6.25% | 7.00 | 2 | 5.80% | $1,025.13 | $1,032.95 | 5.5087 |
Formula Used
Coupon payment per period = Face Value × Coupon Rate ÷ Payments per Year
Accrued interest = Coupon Payment × (Days Since Last Coupon ÷ Days in Coupon Period)
Dirty price = Σ [Cash Flowk ÷ (1 + y ÷ m)(k − w)]
Clean price = Dirty Price − Accrued Interest
Current yield = Annual Coupon Income ÷ Clean Price
Macaulay duration = Σ [Time × Present Value of Cash Flow] ÷ Dirty Price
Modified duration = Macaulay Duration ÷ (1 + y ÷ m)
DV01 = Modified Duration × Dirty Price × 0.0001
Convexity is estimated numerically with a one basis point yield shift.
How to Use This Calculator
- Choose whether you want to calculate bond price from yield or derive yield from an observed market clean price.
- Enter face value, annual coupon rate, years to maturity, and payment frequency.
- Add the settlement timing fields to estimate accrued interest between coupon dates.
- Enter either market yield or market clean price, depending on the mode selected.
- Press Calculate Bond Metrics to show the result block above the form.
- Review clean price, dirty price, duration, convexity, current yield, DV01, and premium or discount status.
- Use the CSV button for spreadsheets or the PDF button for a portable summary.
Frequently Asked Questions
1. What does a corporate bond calculator estimate?
It estimates pricing and risk measures for a fixed coupon corporate bond. Common outputs include clean price, dirty price, accrued interest, duration, convexity, current yield, and DV01.
2. What is the difference between clean and dirty price?
Clean price excludes accrued interest. Dirty price includes accrued interest and reflects the full settlement amount a buyer would normally pay between coupon dates.
3. Why is accrued interest important?
A bond buyer compensates the seller for interest earned since the last coupon date. Without accrued interest, settlement value and quoted market price can be misunderstood.
4. What does duration tell me?
Duration measures interest rate sensitivity. A higher duration usually means bond prices will change more when yields rise or fall by the same amount.
5. What does convexity add beyond duration?
Convexity improves rate sensitivity analysis by capturing curvature. It helps show how price changes become less linear when rates move by larger amounts.
6. Can this calculator solve yield from price?
Yes. Switch to yield from market price mode, enter the observed clean price, and the calculator estimates the bond’s yield to maturity using iterative pricing.
7. What payment frequencies are supported?
The calculator supports annual, semiannual, quarterly, and monthly coupon schedules. Semiannual is common for many traditional corporate bonds.
8. Is this calculator enough for live trading decisions?
It is useful for analysis and education, but live trading also needs credit spread, call features, liquidity, taxes, settlement rules, and market convention checks.