Manuals/calci/MDURATION - Revision history

Devika at 22:19, 22 August 2018

2018-08-22T22:19:32Z

Devika at 22:43, 29 June 2018

2018-06-29T22:43:49Z

Devika at 22:43, 29 June 2018

2018-06-29T22:43:07Z

Devika: /* Examples */

2018-03-23T19:16:48Z

Examples

Jayaram at 10:52, 14 March 2017

2017-03-14T10:52:51Z

Swapna at 16:35, 10 May 2015

2015-05-10T16:35:57Z

Swapna at 23:04, 18 January 2014

2014-01-18T23:04:13Z

Swapna at 23:03, 18 January 2014

2014-01-18T23:03:45Z

Swapna at 23:03, 18 January 2014

2014-01-18T23:03:02Z

Swapna at 23:01, 18 January 2014

2014-01-18T23:01:15Z

Show changes

@@ Line 7: / Line 7: @@
 *<math>Frequency</math> is the number of coupon payments per year, and
 *<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.
 == Description ==

← Older revision		Revision as of 22:43, 29 June 2018
Line 1:		Line 1:
−	=MDURATION(Settlement, Maturity, Coupon, Yield, Frequency, Basis)=	+	<div style="font-size:30px">'''MDURATION(Settlement, Maturity, Coupon, Yield, Frequency, Basis)'''</div><br/>

	*Where <math>Settlement</math> is the security's settlement date (a date when coupon or a bond is purchased),		*Where <math>Settlement</math> is the security's settlement date (a date when coupon or a bond is purchased),

@@ Line 1: / Line 1: @@
-=MDURATION(SettlementDate, MaturityDate, Coupon, Yield, Frequency, Basis)=
+=MDURATION(Settlement, Maturity, Coupon, Yield, Frequency, Basis)=
-*Where <math>SettlementDate</math> is the security's settlement date (a date when coupon or a bond is purchased),
+*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),
+*<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>Yield</math> is the security's annual yield,
@@ Line 8: / Line 8: @@
 *<math>Basis</math> 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.
+MDURATION(), returns the Macauley modified duration for a security with an assumed par value of $100.
 == Description ==
-MDURATION(SettlementDate, MaturityDate, Coupon, Yield, Frequency, Basis)
+MDURATION(Settlement, Maturity, Coupon, Yield, Frequency, Basis)
 *MDURATION() or modified duration calculates the percentage derivative of price with respect to yield.
@@ Line 18: / Line 18: @@
 <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.
+*<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.
+*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.
 *The values for <math>Frequency</math> should be 1,2 or 4.

@@ Line 87: / Line 87: @@
 |}
-  =MDURATION(A1,A2,A3,A4,A5,A6) ''displays 3.8035273385670787'' as a result.
+  =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.

← Older revision		Revision as of 10:52, 14 March 2017
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	*[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 ]]

@@ Line 15: / Line 15: @@
 *MDURATION() or modified duration calculates the percentage derivative of price with respect to yield.
-*Formula- <math>MDURATION = \frac{DURATION}{1 + \frac{Yield}{Frequency}}</math>
+*Formula-
 *<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.