Bond duration sensitivity calculator
Estimate how much a bond or bond ETF price could move when interest rates change. Enter duration, an optional convexity figure, and a rate move to get an instant price impact estimate.
What this calculator does
What it does
Estimates the percentage price change of a bond or bond ETF when interest rates move, using modified duration plus optional convexity. Approximation, not a forecast.
When to use it
Sanity-check rate risk before adding bonds. Ask: if rates rise 1%, how much could this ETF drop? Compare short, intermediate, and long duration funds side by side.
The key sign rule
Rates up = bond prices usually down. Rates down = bond prices usually up. Duration amplifies this: a duration of 7 means roughly 7% price move per 1% rate change.
Step by step
- Find Duration on your bond or bond ETF factsheet. Look for “effective duration” or “modified duration”. Enter it in years (example: 6.2).
- If the factsheet shows Convexity, add it. Leave it at 0 if not shown — it only matters materially for moves of 150 bp or more.
- Choose a rate move using the quick preset chips or type your own value. 100 bp = 1%.
- Optionally enter a starting price (e.g. 100) to also see an estimated currency change and a new price figure.
Price change % = -Duration * dy + 0.5 * Convexity * dy^2
where dy is the rate change in decimal form (100 bp = 0.01).
Estimate price impact from a rate move
Bond or ETF inputs
From your factsheet. “Effective duration” works too.
Leave at 0 if not available. Matters most for large moves.
Rate move — quick presets
Enter a price (e.g. 100) to also see estimated currency change and new price.
Results
Estimated price impact
—
Enter inputs and press Calculate
Price change (currency)
—
Add a starting price above
Estimated new price
—
Duration approximation only
Keep in mind
- Higher duration = higher rate sensitivity. Shorter duration gives more stability at the cost of expected yield.
- This is not a forecast. Credit spreads, curve shape, and fund flows can dominate short-term moves.
- A bond ETF’s duration drifts slowly as the portfolio rolls. Recheck quarterly from your ETF factsheet.
New to bonds? Start with the guide
Duration is step one. The bond ETF guide covers how to match duration to your time horizon, and the rebalancing drift calculator turns rate risk into a concrete action plan.
Go deeper
Frequently asked questions
What is duration in plain English?
Duration is a sensitivity measure: roughly how much a bond price changes for a 1% (100 basis point) move in interest rates. If duration is 6, a +1% rate move means roughly a -6% price move before any convexity correction. The higher the duration, the more the price reacts to rate changes in both directions.
Modified versus Macaulay duration: which one should I use?
Use modified duration for price sensitivity. Many ETF factsheets report "effective duration" — this is the practical sensitivity measure you want and the one this calculator expects. Macaulay duration is a weighted average time to cash flows, useful academically but less useful for direct price estimation.
Does this calculator work for bond ETFs?
Yes, as a good approximation. The ETF's reported duration reflects the portfolio's sensitivity today. Real outcomes can differ because the ETF continuously rolls bonds, reinvests coupons, and the yield curve can shift unevenly across maturities. Use the result as an order-of-magnitude estimate, not a precise prediction.
What does convexity do in the calculation?
Convexity is a second-order correction that improves accuracy for larger rate moves. It slightly softens the duration estimate: making losses smaller when rates rise and gains larger when rates fall. For small moves under 50 basis points, convexity has minimal impact and you can safely leave it at 0. For moves of 150 basis points or more, adding convexity gives a more realistic estimate.
Why can real bond prices move more or less than this calculator shows?
Duration is a single-number approximation of a complex relationship. Credit spreads, yield curve shape changes (parallel shifts vs twists), liquidity conditions, and fund portfolio turnover can all dominate in practice, especially over short timeframes. Use this calculator for stress-testing and planning, not precision forecasting.
QuantRoutine provides educational content only. Nothing on this page is an offer, solicitation, or recommendation to buy or sell any security or to open an account with any specific broker. Investments can lose value, and past performance does not guarantee future results. Calculator results are planning estimates only — actual outcomes depend on your specific holdings, market conditions, and broker execution. Always verify current information on the provider's official website before making decisions. You are responsible for your own investment, tax, and legal decisions.