Asset Liability Duration Gap Calculator
Compare first-order parallel-yield sensitivity of entered asset and liability values.
YOUR CALCULATION
Result
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Calculation steps
Work through one step at a time or reveal the complete calculation. The steps use your current inputs.
How to calculate
Approximate each side’s value change using modified duration, then subtract liability change from asset change for residual equity sensitivity.
Δequity≈−(asset value×asset duration−liability value×liability duration)×Δyield
Worked example
Assets 1000000 with duration 5 and liabilities 800000 with duration 2 lose about 50000 and 16000 respectively for a +1 percentage-point yield shift; equity changes by −34000.
Assumptions and input details
Entered modified durations use the same annual-yield convention. First-order approximation only: convexity, options, spread changes, cash flows and differing asset/liability yield shocks are excluded. Asset value must be positive. Residual equity may be zero or negative; equity-normalized sensitivity is undefined at zero equity. No risk-limit or solvency judgement. No live market data or national tax rules are inferred. Enter consistent amounts in one currency unless explicitly stated otherwise.
References: OCC: duration-gap approximation
Using this calculator
Can I enter my own problem?
Yes. Replace the example values with your own inputs. The result, calculation steps, tables and applicable diagrams update from those inputs. Blank or invalid values clear the result; example values are never silently substituted for missing inputs.
Are the results exact?
Results use floating-point arithmetic and displayed rounding. Read the formula, assumptions and any stated data precision before interpreting the result.
Is my input uploaded?
The calculation runs in your browser. No account, file upload or external AI service is required. Inputs are not saved between page reloads.
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