Difference between revisions of "Manuals/calci/MDURATION"
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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] | ||
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+ | *[[Z_API_Functions | List of Main Z Functions]] | ||
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+ | *[[ Z3 | Z3 home ]] |
Revision as of 05:52, 14 March 2017
MDURATION(SettlementDate, MaturityDate, 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() 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-
- 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 3.8035273385670787 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