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Effective Duration Scenario Calculator — result sheet
Estimate effective duration from a base bond price, prices after a symmetric yield change, and the yield change size.
Inputs used
Results
Visual chart
Breakdown
Calculation steps
Returned data table
Formula and methodology
Formula: Effective duration=(price after yield decrease−price after yield increase)/(2×base price×yield change).
The symmetric shock is supplied by the visitor; this is a scenario approximation, not a live bond measure.
This result follows the calculator's declared inputs, precision, validation boundaries, and model limits.
Input contract
- Price after yield decrease — minimum 1.0E-6; maximum 1000000000
- Price after yield increase — minimum 1.0E-6; maximum 1000000000
- Base price — minimum 1.0E-6; maximum 1000000000
- Yield change as decimal — minimum 1.0E-6; maximum 10
Worked example
| Input | Value |
|---|---|
| Price after yield decrease | 1020 |
| Price after yield increase | 980 |
| Base price | 1000 |
| Yield change as decimal | 0.01 |
Effective duration =2.0.
Assumptions and limits
- Prices share a valuation date and yield-change convention.
- Yield change is positive and applied symmetrically around the base case.
- Cash-flow changes, convexity, liquidity, taxes, and credit effects are not separately modeled.
Calculator note
Source and methodology
Use the official WorldCalculate methodology policy for the source, formula, precision, and boundary standards behind this calculator.
Planning estimate, not financial, medical, legal, or professional advice. © WorldCalculate — reuse with attribution. Built and curated by Hassan ALRowaie.
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