Difference between revisions of "Manuals/calci/MDURATION"

 
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=MDURATION(SettlementDate, MaturityDate, Coupon, Yield, Frequency, Basis)=
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<div style="font-size:30px">'''MDURATION(Settlement, Maturity, Coupon, Yield, Frequency, Basis)'''</div><br/>
  
*Where <math>SettlementDate</math> is the security's settlement date (a date when coupon or a bond is purchased),  
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*Where <math>Settlement</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),  
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*<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.
 
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**MDURATION(), returns the Macauley modified duration for a security with an assumed par value of $100.
MDURATION() gives the modified Macauley duration of a security for an assumed par value of $100.
 
  
 
== Description ==
 
== Description ==
  
MDURATION(SettlementDate, MaturityDate, Coupon, Yield, Frequency, Basis)
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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>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.
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*<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>SettlementDate</math> date ≥ <math>MaturityDate</math> date, Calci displays #N/A error message.
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*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.  

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.

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.

Related Videos

Modified Duration

See Also

References