Calculator Inputs
The page stays in a single-column flow, while the calculator form uses 3 columns on large screens, 2 on medium screens, and 1 on mobile.
Example Data Table
These worked examples help users compare yield assumptions, coupon structures, and resulting clean prices across different fixed income scenarios.
| Scenario | Face Value | Coupon % | Yield % | Years | Frequency | Clean Price | Dirty Price | Duration | Class |
|---|---|---|---|---|---|---|---|---|---|
| Conservative Income | 1,000.00 | 6.00% | 4.50% | 10.00 | 2 | 1,118.47 | 1,125.97 | 7.5166 | Premium |
| Balanced Core Bond | 1,000.00 | 5.00% | 5.25% | 7.00 | 2 | 985.73 | 994.06 | 5.6672 | Discount |
| Short Maturity | 1,000.00 | 4.20% | 4.00% | 3.00 | 2 | 1,005.43 | 1,008.93 | 2.7128 | Premium |
| Quarterly Coupon | 1,000.00 | 7.10% | 6.20% | 5.00 | 4 | 1,038.05 | 1,042.00 | 4.1493 | Premium |
| Zero Coupon Style | 1,000.00 | 0.00% | 5.80% | 12.00 | 1 | 508.36 | 508.36 | 11.3422 | Discount |
Formula Used
1) Coupon per periodC = Face Value × Coupon Rate ÷ Frequency
2) Periodic yieldr = Yield to Maturity ÷ Frequency
3) Settlement timing factora = Accrued Days ÷ Days in Coupon Periodα = 1 - a
4) Dirty priceDirty Price = Σ [C ÷ (1 + r)^(k - 1 + α)] + [Redemption Value ÷ (1 + r)^(N - 1 + α)]
5) Accrued interestAccrued Interest = C × a
6) Clean priceClean Price = Dirty Price - Accrued Interest
7) Current yieldCurrent Yield = Annual Coupon ÷ Clean Price
8) Modified durationModified Duration = Macaulay Duration ÷ (1 + r)
9) DV01DV01 ≈ |Price at y-1bp - Price at y+1bp| ÷ 2
This implementation models plain fixed-rate bonds. Callable, puttable, floating-rate, or inflation-linked structures need separate pricing logic.
How to Use This Calculator
- Enter the bond’s face value and annual coupon rate.
- Input the yield to maturity you want to test.
- Set years remaining, coupon frequency, and redemption value.
- Add accrued days and days in the coupon period for cleaner settlement-based pricing.
- Optionally enter a quoted market price to compare with the model.
- Click Calculate Yield to Price to display the result above the form.
- Review clean price, dirty price, accrued interest, duration, DV01, and convexity.
- Use the chart to see how price changes when yield shifts around your chosen rate.
Frequently Asked Questions
1) What does yield to price mean?
It means converting a required yield assumption into an estimated bond price. Higher required yields usually reduce price, while lower yields usually increase it.
2) What is the difference between clean and dirty price?
Dirty price includes accrued interest. Clean price removes accrued interest and is the value most often quoted in bond markets.
3) Why do I need accrued days?
Accrued days estimate how much coupon interest has built up since the last payment. That helps separate quoted clean price from settlement dirty price.
4) Can I use annual, semiannual, quarterly, or monthly coupons?
Yes. The calculator supports four common payment frequencies. Frequency changes both coupon timing and the discounting schedule used in pricing.
5) Why does bond price fall when yield rises?
A higher yield means future cash flows are discounted more heavily. That lowers their present value, which reduces the bond’s price.
6) Can this calculator price zero-coupon bonds?
Yes. Set the coupon rate to zero. The model will then value the bond mainly from its discounted redemption payment.
7) What do duration and DV01 tell me?
They measure interest-rate sensitivity. Modified duration estimates percentage price change, while DV01 estimates the approximate money change for a one-basis-point yield move.
8) Is this suitable for callable or floating-rate bonds?
No. This page is designed for plain fixed-rate bonds. Complex structures need option-adjusted or floating-rate pricing methods.