Difference between revisions of "Manuals/calci/MDURATION"
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| − | =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. | *MDURATION() or modified duration calculates the percentage derivative of price with respect to yield. | ||
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<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. | ||
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|} | |} | ||
| − | =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. | ||
Latest revision as of 17:19, 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),
- is the security's maturity date (a date when coupon or a bond expires),
- is the security's annual coupon rate,
- is the security's annual yield,
- is the number of coupon payments per year, and
- 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),
is the security's maturity date (a date when coupon or a bond expires),
is the security's annual coupon rate,
is the security's annual yield,
is the number of coupon payments per year, and
is the type of day count basis to use.
Description
MDURATION(Settlement, Maturity, Coupon, Yield, Frequency, Basis)
- MDURATION() or modified duration calculates the percentage derivative of price with respect to yield.
- Formula-
- and 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 date ≥ date, Calci displays #N/A error message.
- and values must be greater than or equal to zero.
- The values for should be 1,2 or 4.
For Annual payment, frequency = 1,
For Semi-annual payment, frequency = 2,
For Quarterly payment, frequency = 4.
- value is optional. If omitted, Calci assumes it to be 0.
Below table shows the use of values:
| Basis | Description |
|---|---|
| 0 | US (NASD) 30/360 |
| 1 | Actual/actual |
| 2 | Actual/360 |
| 3 | Actual/365 |
| 4 | European 30/360 |
- If 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.
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References