Difference between revisions of "Manuals/calci/MDURATION"
Jump to navigation
Jump to search
| (8 intermediate revisions by 3 users not shown) | |||
| Line 1: | Line 1: | ||
| − | =MDURATION( | + | <div style="font-size:30px">'''MDURATION(Settlement, Maturity, Coupon, Yield, Frequency, Basis)'''</div><br/> |
| − | *Where <math> | + | *Where <math>Settlement</math> is the security's settlement date (a date when coupon or a bond is purchased), |
| − | *<math> | + | *<math>Maturity</math> is the security's maturity date (a date when coupon or a bond expires), |
*<math>Coupon</math> is the security's annual coupon rate, | *<math>Coupon</math> is the security's annual coupon rate, | ||
*<math>Yield</math> is the security's annual yield, | *<math>Yield</math> is the security's annual yield, | ||
*<math>Frequency</math> is the number of coupon payments per year, and | *<math>Frequency</math> is the number of coupon payments per year, and | ||
*<math>Basis</math> is the type of day count basis to use. | *<math>Basis</math> is the type of day count basis to use. | ||
| − | + | **MDURATION(), returns the Macauley modified duration for a security with an assumed par value of $100. | |
| − | MDURATION() | ||
== Description == | == Description == | ||
| − | MDURATION( | + | MDURATION(Settlement, Maturity, Coupon, Yield, Frequency, Basis) |
| − | |||
| − | |||
| − | |||
| + | *MDURATION() or modified duration calculates the percentage derivative of price with respect to yield. | ||
| + | *Formula- | ||
<math>MDURATION = \frac{DURATION}{1 + \frac{Yield}{Frequency}}</math> | <math>MDURATION = \frac{DURATION}{1 + \frac{Yield}{Frequency}}</math> | ||
| − | *<math> | + | *<math>Settlement</math> and <math>Maturity</math> dates should be entered either in 'date format' or 'dates returned using formulas'. If dates are not valid, Calci displays #N/A error message. |
| − | *If <math> | + | *If <math>Settlement</math> date ≥ <math>Maturity</math> date, Calci displays #N/A error message. |
*<math>Coupon</math> and <math>Yield</math> values must be greater than or equal to zero. | *<math>Coupon</math> and <math>Yield</math> values must be greater than or equal to zero. | ||
*The values for <math>Frequency</math> should be 1,2 or 4. | *The values for <math>Frequency</math> should be 1,2 or 4. | ||
| Line 88: | Line 86: | ||
|} | |} | ||
| − | =MDURATION(A1,A2,A3,A4,A5,A6) ''displays 3. | + | =MDURATION(A1,A2,A3,A4,A5,A6) ''displays 3.4357631246138873'' as a result. |
=MDURATION(DATE(2013,6,1),DATE(2013,12,31),"8%","9%",1,1) ''displays 0.9174311926605504'' as a result. | =MDURATION(DATE(2013,6,1),DATE(2013,12,31),"8%","9%",1,1) ''displays 0.9174311926605504'' as a result. | ||
| + | |||
| + | ==Related Videos== | ||
| + | |||
| + | {{#ev:youtube|hZMo7jVhfaY|280|center|Modified Duration}} | ||
== See Also == | == See Also == | ||
| Line 100: | Line 102: | ||
*[http://en.wikipedia.org/wiki/Bond_duration#Modified_duration Modified Duration] | *[http://en.wikipedia.org/wiki/Bond_duration#Modified_duration Modified Duration] | ||
*[http://en.wikipedia.org/wiki/Day_count_convention Day Count Basis] | *[http://en.wikipedia.org/wiki/Day_count_convention Day Count Basis] | ||
| + | |||
| + | |||
| + | |||
| + | *[[Z_API_Functions | List of Main Z Functions]] | ||
| + | |||
| + | *[[ Z3 | Z3 home ]] | ||
Latest revision as of 16:19, 22 August 2018
MDURATION(Settlement, Maturity, Coupon, Yield, Frequency, Basis)
- Where is the security's settlement date (a date when coupon or a bond is purchased),
- Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Maturity} is the security's maturity date (a date when coupon or a bond expires),
- Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Coupon} is the security's annual coupon rate,
- Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Yield} is the security's annual yield,
- Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Frequency} is the number of coupon payments per year, and
- Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Basis}
is the type of day count basis to use.
- MDURATION(), returns the Macauley modified duration for a security with an assumed par value of $100.
is the security's settlement date (a date when coupon or a bond is purchased),Description
MDURATION(Settlement, Maturity, Coupon, Yield, Frequency, Basis)
- MDURATION() or modified duration calculates the percentage derivative of price with respect to yield.
- Formula-
Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle MDURATION = \frac{DURATION}{1 + \frac{Yield}{Frequency}}}
- Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Settlement} and Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Maturity} dates should be entered either in 'date format' or 'dates returned using formulas'. If dates are not valid, Calci displays #N/A error message.
- If Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Settlement} date ≥ date, Calci displays #N/A error message.
- Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Coupon} and Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Yield} values must be greater than or equal to zero.
- The values for Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Frequency} should be 1,2 or 4.
date, Calci displays #N/A error message.For Annual payment, frequency = 1,
For Semi-annual payment, frequency = 2,
For Quarterly payment, frequency = 4.
- Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Basis} value is optional. If omitted, Calci assumes it to be 0.
Below table shows the use of Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Basis} values:
| Basis | Description |
|---|---|
| 0 | US (NASD) 30/360 |
| 1 | Actual/actual |
| 2 | Actual/360 |
| 3 | Actual/365 |
| 4 | European 30/360 |
- If Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Basis} value is other than 0 to 4, Calci displays #N/A error message.
Examples
Consider the following example that shows the use of MDURATION function:
| September 10, 2010 | ||
| September 10, 2014 | ||
| 6% | ||
| 9.0% | ||
| 2 | ||
| 1 |
=MDURATION(A1,A2,A3,A4,A5,A6) displays 3.4357631246138873 as a result. =MDURATION(DATE(2013,6,1),DATE(2013,12,31),"8%","9%",1,1) displays 0.9174311926605504 as a result.
Related Videos
See Also
References