Difference between revisions of "Manuals/calci/MDURATION"

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(Created page with "<div id="6SpaceContent" class="zcontent" align="left"> '''MDURATION'''(SettlementDate, MaturityDate, Coupon,Yield, Frequency, Basis) where, '''SettlementDate''' - r...")
 
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<div id="6SpaceContent" class="zcontent" align="left">
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=MDURATION(SettlementDate, MaturityDate, Coupon, Yield, Frequency, Basis)=
  
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'''MDURATION'''(SettlementDate, MaturityDate, Coupon,Yield, Frequency, Basis)
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*Where <math>SettlementDate</math> is the security's settlement date (a date when coupon or a bond is purchased),  
 +
*<math>MaturityDate</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>Yield</math> is the security's annual yield,  
 +
*<math>Frequency</math> is the number of coupon payments per year, and
 +
*<math>Basis</math> is the type of day count basis to use.
  
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where,
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MDURATION() gives the modified Macauley duration of a security for an assumed par value of $100.
  
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'''SettlementDate''' - represents the settlement date.
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== Description ==
  
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'''MaturityDate''' - represents the maturity date.
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MDURATION(SettlementDate, MaturityDate, Coupon, Yield, Frequency, Basis)
  
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'''Coupon''' - the annual coupon rate.
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MDURATION() or modified duration calculates the percentage derivative of price with respect to yield.  
 +
Formula:
  
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'''Yield''' - the annual yield.
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<math>MDURATION = \frac{DURATION}{1 + \frac{Yield}{Frequency}}</math>
  
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'''Frequency''' - the number of coupon payment per year.
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*<math>SettlementDate</math> and <math>MaturityDate</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>SettlementDate</math> date ≥ <math>MaturityDate</math> date, Calci displays #N/A error message.
 +
*<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.
 +
For Annual payment, frequency = 1,
  
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'''Payments              frequency'''
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For Semi-annual payment, frequency = 2,
  
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annual                     1
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For Quarterly payment, frequency = 4.
  
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semiannual               2
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*<math>Basis</math> value is optional. If omitted, Calci assumes it to be 0.
 +
Below table shows the use of <math>Basis</math> values:
  
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quarterly                  4
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{| class="wikitable"
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|-
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'''Basis''' - type of day count basis
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! Basis !! Description
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|-
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'''Basis              Day count basis'''
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| 0 || US (NASD) 30/360
−
 
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|-
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0 or omitted    US 30/360
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| 1 || Actual/actual  
−
 
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|-
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1                     Actual/actual
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| 2 || Actual/360
−
 
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|-
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2                     Actual/360
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| 3 || Actual/365
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|-
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3                     Actual/365
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| 4 || European 30/360  
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|}
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4                     European 30/360
 
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</div>
 
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----
 
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<div id="1SpaceContent" class="zcontent" align="left">
 
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It returns the Macauley duration for a security with an assumed par value of $100.
 
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'''Formula''':-
 
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MDURATION = duration /(1+(Market yield/coupon payemnt per year))
 
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</div>
 
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----
 
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<div id="7SpaceContent" class="zcontent" align="left">
 
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If Basis &lt; 0 or Basis &gt; 4 , MDURATION returns the #ERROR.
 
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If Yield &lt; 0 or Coupon &lt; 0, it returns the #ERROR.
 
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If SettlementDate &gt;= MaturityDate, MDURATION returns #ERRROR.
 
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If Frequency other than 0 , 1 or 4 returns the #ERROR.
 
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</div>
 
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----
 
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<div id="12SpaceContent" class="zcontent" align="left"><div class="ZEditBox" align="left">
 
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MDURATION
 
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</div></div>
 
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----
 
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<div id="8SpaceContent" class="zcontent" align="left">
 
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Lets see an example in (Column2, Row1)
 
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<nowiki>=MDURATION(R1C1, R2C1, R3C1, R4C1, R5C1,R6C1)</nowiki>
 
  
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MDURATION returns 0.726144.
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*If <math>Basis</math> value is other than 0 to 4, Calci displays #N/A error message.
  
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Consider another example
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== Examples ==
  
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<nowiki>=MDURATON(date(1/1/2007),date(2/2/2008),"5%","4%",5,1)</nowiki>
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Consider the following example that shows the use of MDURATION function:
  
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It returns #ERROR.
 
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</div>
 
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----
 
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<div id="10SpaceContent" class="zcontent" align="left"><div class="ZEditBox" align="justify">Syntax </div><div class="ZEditBox"><center></center></div></div>
 
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----
 
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<div id="4SpaceContent" class="zcontent" align="left"><div class="ZEditBox" align="justify">Remarks </div></div>
 
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----
 
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<div id="3SpaceContent" class="zcontent" align="left"><div class="ZEditBox" align="justify">Examples </div></div>
 
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----
 
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<div id="11SpaceContent" class="zcontent" align="left"><div class="ZEditBox" align="justify">Description </div></div>
 
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----
 
 
<div id="2SpaceContent" class="zcontent" align="left">
 
<div id="2SpaceContent" class="zcontent" align="left">
  
 
{| id="TABLE3" class="SpreadSheet blue"
 
{| id="TABLE3" class="SpreadSheet blue"
 
|- class="even"
 
|- class="even"
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| class=" " | September 10, 2010
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| class=" " |
 
| class=" " |
 
| class=" " |
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| Column1
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| class="  " | Column2
 
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| Column3
 
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| Column4
 
 
|- class="odd"
 
|- class="odd"
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| class=" " | Row1
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| class="sshl_f" | September 10, 2014
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| class=" " | 2/2/2008
 
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| class="sshl_f" | 0.726144
 
 
| class=" " |
 
| class=" " |
 
| class=" " |
 
| class=" " |
 +
 
|- class="even"
 
|- class="even"
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| class=" " | Row2
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| class=" " | 6%
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| class=" " | 11/2/2008
 
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| class="  SelectTD ChangeBGColor SelectTD" |
 
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<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=" " |
 
| class=" " |
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|- class="odd"
 
|- class="odd"
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| Row3
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| class=" " | 9.0%
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| class=" " | 5%
 
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| class=" " |
 
 
| class=" " |
 
| class=" " |
 
| class=" " |
 
| class=" " |
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|- class="even"
 
|- class="even"
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| Row4
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| class=" " | 2
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| class=" " | 8%
 
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| class=" " |
 
 
| class=" " |
 
| class=" " |
 
| class=" " |
 
| class=" " |
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|- class="odd"
 
|- class="odd"
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| class=" " | Row5
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| class=" " | 1
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| class=" " | 4
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| class=" " |  
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| class=" " |
 
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| class=" " |
 
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| class=" " |
 
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|- class="even"
 
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| Row6
 
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| class="  sshl_f " | 1
 
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| class=" " |
 
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| class=" " |
 
 
| class=" " |
 
| class=" " |
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|}
 
|}
  
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<div align="left">[[Image:calci1.gif]]</div></div>
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=MDURATION(A1,A2,A3,A4,A5,A6) ''displays 3.8035273385670787'' as a result.
−
----
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=MDURATION(DATE(2013,6,1),DATE(2013,12,31),"8%","9%",1,1) ''displays 0.9174311926605504'' as a result.
 +
 
 +
== See Also ==
 +
 
 +
*[[Manuals/calci/DURATION | DURATION]]
 +
 
 +
== References ==
 +
 
 +
*[http://en.wikipedia.org/wiki/Bond_duration#Macaulay_duration Macaulay Duration]
 +
*[http://en.wikipedia.org/wiki/Bond_duration#Modified_duration Modified Duration]
 +
*[http://en.wikipedia.org/wiki/Day_count_convention Day Count Basis]

Revision as of 17:01, 18 January 2014

MDURATION(SettlementDate, MaturityDate, Coupon, Yield, Frequency, Basis)

  • Where 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 SettlementDate} 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 MaturityDate} 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() gives the modified Macauley duration of a security for an assumed par value of $100.

Description

MDURATION(SettlementDate, MaturityDate, 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 SettlementDate} 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 MaturityDate} 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 SettlementDate} date ≥ 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 MaturityDate} 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.

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 3.8035273385670787 as a result.
=MDURATION(DATE(2013,6,1),DATE(2013,12,31),"8%","9%",1,1) displays 0.9174311926605504 as a result.

See Also

References

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