Bond Yield Calculator (YTM)
Calculate Current Yield and Yield to Maturity (YTM) for coupon-bearing bonds. Includes sensitivity analysis for interest rate changes.
About
The Yield to Maturity (YTM) is the most comprehensive metric for bond investors, representing the internal rate of return (IRR) if the bond is held until it expires. Unlike the Current Yield, which only accounts for the annual coupon relative to the price, YTM accounts for the time value of money and the capital gain or loss realized when the bond is redeemed at par. This tool uses the Newton-Raphson iteration method to solve for the exact YTM, ensuring high precision for semi-annual or annual coupon schedules.
A key feature of this calculator is the Sensitivity Analysis. Bond prices are inversely related to interest rates. By visualizing how a +1% or -1% shift in market rates affects the bond's value, investors can better gauge the duration risk (volatility) associated with their fixed-income holdings.
Formulas
The price of a bond is the sum of the present value of its coupon payments and the present value of its face value. The YTM (r) is the discount rate that equates this sum to the current market price P:
Where C is the periodic coupon payment, F is the face value, and N is the total number of periods. Since r cannot be isolated algebraically, numerical methods are used to solve the equation.
Reference Data
| Bond Type | Frequency | Typical Par | Risk Profile |
|---|---|---|---|
| US Treasury Note (2-10Y) | Semi-Annual | $1,000 | Risk-Free (Interest Rate Risk only) |
| US Treasury Bond (20-30Y) | Semi-Annual | $1,000 | High Duration Risk |
| Corporate Bond (IG) | Semi-Annual | $1,000 / $5,000 | Credit Spread Risk |
| Municipal Bond | Semi-Annual | $5,000 | Tax-Exempt Status |
| Eurobond | Annual | €1,000 | Currency Risk |