Effective Duration Calculator
Duration from shocked prices (P₋, P₊, P₀) — the only valid duration for callables, MBS and other bonds with optionality.
Formula
Modified duration assumes cash flows don't change with rates — false for callables and MBS, whose expected cash flows shorten as rates fall. Effective duration differences the actual model prices, capturing the option. Negative convexity shows up immediately in the P₋+P₊ comparison.
Not financial advice — for informational and analytical use only. Verify all figures with a qualified professional before acting on them.
Need effective duration calculator results fast? Analysts, founders, traders and finance professionals use the Effective Duration Calculator to skip the spreadsheet and get a defensible answer in one step — free, private and instant.
About Effective Duration Calculator
Duration from shocked prices (P₋, P₊, P₀) — the only valid duration for callables, MBS and other bonds with optionality. Modified duration assumes cash flows don't change with rates — false for callables and MBS, whose expected cash flows shorten as rates fall. Effective duration differences the actual model prices, capturing the option. Negative convexity shows up immediately in the P₋+P₊ comparison. The governing relationship is D_eff = (P₋ − P₊) / (2·P₀·Δy). The Effective Duration Calculator computes entirely in your browser — free, private (your figures never leave your device) and instant, recalculating live as you change any input.
How to use Effective Duration Calculator
- 1Enter Base price P₀, Price if rates −Δy (P₋), Price if rates +Δy (P₊), Shock size Δy (bp) into the Effective Duration Calculator.
- 2The result is computed automatically using D_eff = (P₋ − P₊) / (2·P₀·Δy) — there is no button to press.
- 3Change any input to model a different scenario, then copy or share the result.
Why use Effective Duration Calculator?
- ✓Computes effective duration calculator instantly with the correct formula — no spreadsheet needed
- ✓100% free and unlimited, with no sign-up, login or paywall
- ✓Runs entirely in your browser, so the figures you enter stay private
- ✓Shows the formula, a live worked example and references so you can defend the number
Frequently asked questions
What is the formula behind the Effective Duration Calculator?+
Effective Duration Calculator uses D_eff = (P₋ − P₊) / (2·P₀·Δy). Modified duration assumes cash flows don't change with rates — false for callables and MBS, whose expected cash flows shorten as rates fall. The tool substitutes your actual inputs into this relationship and shows the worked example step by step.
What inputs does the Effective Duration Calculator need?+
Enter Base price P₀, Price if rates −Δy (P₋), Price if rates +Δy (P₊), Shock size Δy (bp) and the result updates immediately — there is no button to press. Change any value to model a different scenario in real time.
Is the Effective Duration Calculator free, and is my data private?+
Yes — it is completely free with no sign-up or usage limit, and it runs entirely in your browser, so the numbers you enter are never uploaded or stored on any server. It is for informational and analytical use, not financial advice.
What should I watch out for when using the Effective Duration Calculator?+
Effective duration differences the actual model prices, capturing the option. Negative convexity shows up immediately in the P₋+P₊ comparison.
What is the Effective Duration Calculator based on?+
The method follows authoritative sources: Fabozzi — valuation of bonds with embedded options. The formula and references are shown on the page so you can verify and cite the result.
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