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. |
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.
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References