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Manuals/calci/MDURATION (view source)
Revision as of 02:39, 25 October 2013
, 02:39, 25 October 2013Created page with "<div id="6SpaceContent" class="zcontent" align="left"> '''MDURATION'''(SettlementDate, MaturityDate, Coupon,Yield, Frequency, Basis) where, '''SettlementDate''' - r..."
<div id="6SpaceContent" class="zcontent" align="left">
'''MDURATION'''(SettlementDate, MaturityDate, Coupon,Yield, Frequency, Basis)
where,
'''SettlementDate''' - represents the settlement date.
'''MaturityDate''' - represents the maturity date.
'''Coupon''' - the annual coupon rate.
'''Yield''' - the annual yield.
'''Frequency''' - the number of coupon payment per year.
'''Payments frequency'''
annual 1
semiannual 2
quarterly 4
'''Basis''' - type of day count basis
'''Basis Day count basis'''
0 or omitted US 30/360
1 Actual/actual
2 Actual/360
3 Actual/365
4 European 30/360
</div>
----
<div id="1SpaceContent" class="zcontent" align="left">
It returns the Macauley duration for a security with an assumed par value of $100.
'''Formula''':-
MDURATION = duration /(1+(Market yield/coupon payemnt per year))
</div>
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<div id="7SpaceContent" class="zcontent" align="left">
If Basis < 0 or Basis > 4 , MDURATION returns the #ERROR.
If Yield < 0 or Coupon < 0, it returns the #ERROR.
If SettlementDate >= MaturityDate, MDURATION returns #ERRROR.
If Frequency other than 0 , 1 or 4 returns the #ERROR.
</div>
----
<div id="12SpaceContent" class="zcontent" align="left"><div class="ZEditBox" align="left">
MDURATION
</div></div>
----
<div id="8SpaceContent" class="zcontent" align="left">
Lets see an example in (Column2, Row1)
<nowiki>=MDURATION(R1C1, R2C1, R3C1, R4C1, R5C1,R6C1)</nowiki>
MDURATION returns 0.726144.
Consider another example
<nowiki>=MDURATON(date(1/1/2007),date(2/2/2008),"5%","4%",5,1)</nowiki>
It returns #ERROR.
</div>
----
<div id="10SpaceContent" class="zcontent" align="left"><div class="ZEditBox" align="justify">Syntax </div><div class="ZEditBox"><center></center></div></div>
----
<div id="4SpaceContent" class="zcontent" align="left"><div class="ZEditBox" align="justify">Remarks </div></div>
----
<div id="3SpaceContent" class="zcontent" align="left"><div class="ZEditBox" align="justify">Examples </div></div>
----
<div id="11SpaceContent" class="zcontent" align="left"><div class="ZEditBox" align="justify">Description </div></div>
----
<div id="2SpaceContent" class="zcontent" align="left">
{| id="TABLE3" class="SpreadSheet blue"
|- class="even"
| class=" " |
| Column1
| class=" " | Column2
| Column3
| Column4
|- class="odd"
| class=" " | Row1
| class=" " | 2/2/2008
| class="sshl_f" | 0.726144
| class=" " |
| class=" " |
|- class="even"
| class=" " | Row2
| class=" " | 11/2/2008
| class=" SelectTD ChangeBGColor SelectTD" |
<div id="2Space_Handle" class="zhandles" title="Click and Drag to resize CALCI Column/Row/Cell. It is EZ!"></div><div id="2Space_Copy" class="zhandles" title="Click and Drag over to AutoFill other cells."></div><div id="2Space_Drag" class="zhandles" title="Click and Drag to Move/Copy Area.">[[Image:copy-cube.gif]] </div>
| class=" " |
| class=" " |
|- class="odd"
| Row3
| class=" " | 5%
| class=" " |
| class=" " |
| class=" " |
|- class="even"
| Row4
| class=" " | 8%
| class=" " |
| class=" " |
| class=" " |
|- class="odd"
| class=" " | Row5
| class=" " | 4
| class=" " |
| class=" " |
| class=" " |
|- class="even"
| Row6
| class=" sshl_f " | 1
| class=" " |
| class=" " |
| class=" " |
|}
<div align="left">[[Image:calci1.gif]]</div></div>
----
'''MDURATION'''(SettlementDate, MaturityDate, Coupon,Yield, Frequency, Basis)
where,
'''SettlementDate''' - represents the settlement date.
'''MaturityDate''' - represents the maturity date.
'''Coupon''' - the annual coupon rate.
'''Yield''' - the annual yield.
'''Frequency''' - the number of coupon payment per year.
'''Payments frequency'''
annual 1
semiannual 2
quarterly 4
'''Basis''' - type of day count basis
'''Basis Day count basis'''
0 or omitted US 30/360
1 Actual/actual
2 Actual/360
3 Actual/365
4 European 30/360
</div>
----
<div id="1SpaceContent" class="zcontent" align="left">
It returns the Macauley duration for a security with an assumed par value of $100.
'''Formula''':-
MDURATION = duration /(1+(Market yield/coupon payemnt per year))
</div>
----
<div id="7SpaceContent" class="zcontent" align="left">
If Basis < 0 or Basis > 4 , MDURATION returns the #ERROR.
If Yield < 0 or Coupon < 0, it returns the #ERROR.
If SettlementDate >= MaturityDate, MDURATION returns #ERRROR.
If Frequency other than 0 , 1 or 4 returns the #ERROR.
</div>
----
<div id="12SpaceContent" class="zcontent" align="left"><div class="ZEditBox" align="left">
MDURATION
</div></div>
----
<div id="8SpaceContent" class="zcontent" align="left">
Lets see an example in (Column2, Row1)
<nowiki>=MDURATION(R1C1, R2C1, R3C1, R4C1, R5C1,R6C1)</nowiki>
MDURATION returns 0.726144.
Consider another example
<nowiki>=MDURATON(date(1/1/2007),date(2/2/2008),"5%","4%",5,1)</nowiki>
It returns #ERROR.
</div>
----
<div id="10SpaceContent" class="zcontent" align="left"><div class="ZEditBox" align="justify">Syntax </div><div class="ZEditBox"><center></center></div></div>
----
<div id="4SpaceContent" class="zcontent" align="left"><div class="ZEditBox" align="justify">Remarks </div></div>
----
<div id="3SpaceContent" class="zcontent" align="left"><div class="ZEditBox" align="justify">Examples </div></div>
----
<div id="11SpaceContent" class="zcontent" align="left"><div class="ZEditBox" align="justify">Description </div></div>
----
<div id="2SpaceContent" class="zcontent" align="left">
{| id="TABLE3" class="SpreadSheet blue"
|- class="even"
| class=" " |
| Column1
| class=" " | Column2
| Column3
| Column4
|- class="odd"
| class=" " | Row1
| class=" " | 2/2/2008
| class="sshl_f" | 0.726144
| class=" " |
| class=" " |
|- class="even"
| class=" " | Row2
| class=" " | 11/2/2008
| class=" SelectTD ChangeBGColor SelectTD" |
<div id="2Space_Handle" class="zhandles" title="Click and Drag to resize CALCI Column/Row/Cell. It is EZ!"></div><div id="2Space_Copy" class="zhandles" title="Click and Drag over to AutoFill other cells."></div><div id="2Space_Drag" class="zhandles" title="Click and Drag to Move/Copy Area.">[[Image:copy-cube.gif]] </div>
| class=" " |
| class=" " |
|- class="odd"
| Row3
| class=" " | 5%
| class=" " |
| class=" " |
| class=" " |
|- class="even"
| Row4
| class=" " | 8%
| class=" " |
| class=" " |
| class=" " |
|- class="odd"
| class=" " | Row5
| class=" " | 4
| class=" " |
| class=" " |
| class=" " |
|- class="even"
| Row6
| class=" sshl_f " | 1
| class=" " |
| class=" " |
| class=" " |
|}
<div align="left">[[Image:calci1.gif]]</div></div>
----