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Manuals/calci/MDURATION (view source)
Revision as of 23:03, 18 January 2014
, 23:03, 18 January 2014no edit summary
MDURATION(SettlementDate, MaturityDate, Coupon, Yield, Frequency, Basis)
MDURATION(SettlementDate, MaturityDate, Coupon, Yield, Frequency, Basis)
MDURATION() or modified duration calculates the percentage derivative of price with respect to yield.
*MDURATION() or modified duration calculates the percentage derivative of price with respect to yield.
Formula:
*Formula:
<math>MDURATION = \frac{DURATION}{1 + \frac{Yield}{Frequency}}</math>
<math>MDURATION = \frac{DURATION}{1 + \frac{Yield}{Frequency}}</math>