Difference between revisions of "Documentation/How Tos/Calc: MDURATION function"
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− | + | {{Documentation/MasterTOC | |
+ | |bookid=1234''' | ||
+ | |booktitle=<div style="padding: 8px; font-size: 140%; font-weight: bold; background-color: #9BC0F5;">CALC FUNCTIONS</div> | ||
+ | |ShowParttitle=block|parttitle=[[Documentation/How_Tos/Calc:_Financial_functions|<div style="font-size: 140%;">Financial Functions]] | ||
+ | |ShowNextPage=block|NextPage=Documentation/How_Tos/Calc:_NOMINAL_function | ||
+ | |ShowPrevPage=block|PrevPage=Documentation/How_Tos/Calc:_INTRATE_function | ||
+ | |ShowPrevPart=block|PrevPart=Documentation/How_Tos/Calc:_Date_%26_Time_functions | ||
+ | |ShowNextPart=block|NextPart=Documentation/How_Tos/Calc:_Information_functions | ||
+ | |toccontent= <div style="padding: 4px; font-size: 130%; font-weight: hidden; background-color:#DCE9FC;">FUNCTIONS</div> | ||
+ | |||
+ | <div style="font-size: 140%; border-style: outset outset outset none; border-color:#DCE9FC;">Depreciation</div> | ||
+ | * [[Documentation/How_Tos/Calc:_AMORDEGRC_function|<div style="font-size: 120%;">Amordegrc]] | ||
+ | * [[Documentation/How_Tos/Calc:_AMORLINC_function|<div style="font-size: 120%;">Amorlinc]] | ||
+ | * [[Documentation/How_Tos/Calc:_DB_function|<div style="font-size: 120%;">Db]] | ||
+ | * [[Documentation/How_Tos/Calc:_DDB_function|<div style="font-size: 120%;">Ddb]] | ||
+ | * [[Documentation/How_Tos/Calc:_SLN_function|<div style="font-size: 120%;">Sln]] | ||
+ | * [[Documentation/How_Tos/Calc:_SYD_function|<div style="font-size: 120%;">Syd]] | ||
+ | * [[Documentation/How_Tos/Calc:_VDB_function|<div style="font-size: 120%;">Vdb]] | ||
+ | |||
+ | <div style="font-size: 140%; border-style: outset outset outset none; border-color:#DCE9FC;">Payment Streams, Annuities, Loans</div> | ||
+ | * [[Documentation/How_Tos/Calc:_CUMIPMT_function|<div style="font-size: 120%;">Cumipmt]] | ||
+ | * [[Documentation/How_Tos/Calc:_CUMIPMT_ADD_function|<div style="font-size: 120%;">Cumipmt Add]] | ||
+ | * [[Documentation/How_Tos/Calc:_CUMPRINC_function|<div style="font-size: 120%;">Cumprinc]] | ||
+ | * [[Documentation/How_Tos/Calc:_CUMPRINC_ADD_function|<div style="font-size: 120%;">Cumpinc Add]] | ||
+ | * [[Documentation/How_Tos/Calc:_FV_function|<div style="font-size: 120%;">Fv]] | ||
+ | * [[Documentation/How_Tos/Calc:_FVSCHEDULE_function|<div style="font-size: 120%;">Fvschedule]] | ||
+ | * [[Documentation/How_Tos/Calc:_IPMT_function|<div style="font-size: 120%;">Ipmt]] | ||
+ | * [[Documentation/How_Tos/Calc:_IRR_function|<div style="font-size: 120%;">Irr]] | ||
+ | * [[Documentation/How_Tos/Calc:_ISPMT_function|<div style="font-size: 120%;">Ispmt]] | ||
+ | * [[Documentation/How_Tos/Calc:_MIRR_function|<div style="font-size: 120%;">Mirr]] | ||
+ | * [[Documentation/How_Tos/Calc:_NPER_function|<div style="font-size: 120%;">Nper]] | ||
+ | * [[Documentation/How_Tos/Calc:_NPV_function|<div style="font-size: 120%;">Npv]] | ||
+ | * [[Documentation/How_Tos/Calc:_PMT_function|<div style="font-size: 120%;">Pmt]] | ||
+ | * [[Documentation/How_Tos/Calc:_PPMT_function|<div style="font-size: 120%;">Ppmt]] | ||
+ | * [[Documentation/How_Tos/Calc:_PV_function|<div style="font-size: 120%;">Pv]] | ||
+ | * [[Documentation/How_Tos/Calc:_RATE_function|<div style="font-size: 120%;">Rate]] | ||
+ | * [[Documentation/How_Tos/Calc:_RRI_function|<div style="font-size: 120%;">Rri]] | ||
+ | * [[Documentation/How_Tos/Calc:_XIRR_function|<div style="font-size: 120%;">Xirr]] | ||
+ | * [[Documentation/How_Tos/Calc:_XNPV_function|<div style="font-size: 120%;">Xnpv]] | ||
+ | |||
+ | <div style="font-size: 140%; border-style: outset outset outset none; border-color:#DCE9FC;">Securities</div> | ||
+ | * [[Documentation/How_Tos/Calc:_ACCRINT_function|<div style="font-size: 120%;">Accrint]] | ||
+ | * [[Documentation/How_Tos/Calc:_ACCRINTM_function|<div style="font-size: 120%;">Accrintm]] | ||
+ | * [[Documentation/How_Tos/Calc:_DISC_function|<div style="font-size: 120%;">Disc]] | ||
+ | * [[Documentation/How_Tos/Calc:_DURATION_function|<div style="font-size: 120%;">Duration]] | ||
+ | * [[Documentation/How_Tos/Calc:_DURATION_ADD_function|<div style="font-size: 120%;">Duration Add]] | ||
+ | * [[Documentation/How_Tos/Calc:_EFFECTIVE_function|<div style="font-size: 120%;">Effective]] | ||
+ | * [[Documentation/How_Tos/Calc:_EFFECT_ADD_function|<div style="font-size: 120%;">Effect Add]] | ||
+ | * [[Documentation/How_Tos/Calc:_INTRATE_function|<div style="font-size: 120%;">Intrate]] | ||
+ | * [[Documentation/How_Tos/Calc:_MDURATION_function|<div style="font-size: 120%; border-style: double; border-color:#778899;">Mduration]] | ||
+ | * [[Documentation/How_Tos/Calc:_NOMINAL_function|<div style="font-size: 120%;">Nominal]] | ||
+ | * [[Documentation/How_Tos/Calc:_NOMINAL_ADD_function|<div style="font-size: 120%;">Nominal Add]] | ||
+ | * [[Documentation/How_Tos/Calc:_ODDFPRICE_function|<div style="font-size: 120%;">Oddfprice]] | ||
+ | * [[Documentation/How_Tos/Calc:_ODDFYIELD_function|<div style="font-size: 120%;">Oddfyield]] | ||
+ | |||
+ | <div style="font-size: 140%; border-style: outset outset outset none; border-color:#DCE9FC;">Coupons</div> | ||
+ | * [[Documentation/How_Tos/Calc:_COUPDAYBS_function|<div style="font-size: 120%;">Coupdaybs]] | ||
+ | * [[Documentation/How_Tos/Calc:_COUPDAYS_function|<div style="font-size: 120%;">Coupdays]] | ||
+ | * [[Documentation/How_Tos/Calc:_COUPDAYSNC_function|<div style="font-size: 120%;">Coupdaysnc]] | ||
+ | * [[Documentation/How_Tos/Calc:_COUPNCD_function|<div style="font-size: 120%;">Coupncd]] | ||
+ | * [[Documentation/How_Tos/Calc:_COUPNUM_function|<div style="font-size: 120%;">Coupnum]] | ||
+ | * [[Documentation/How_Tos/Calc:_COUPPCD_function|<div style="font-size: 120%;">Couppcd]] | ||
+ | |||
+ | <div style="font-size: 140%; border-style: outset outset outset none; border-color:#DCE9FC;">Miscellaneous</div> | ||
+ | |||
+ | * [[Documentation/How_Tos/Calc:_DOLLARDE_function|<div style="font-size: 120%;">Coupdaybs]] | ||
+ | * [[Documentation/How_Tos/Calc:_DOLLARFR_function|<div style="font-size: 120%;">Coupdays]] | ||
+ | }}__TOC__ | ||
== MDURATION == | == MDURATION == | ||
− | + | Calculates the modified duration of a security. | |
This function is only available if the '''Analysis AddIn''' is installed. | This function is only available if the '''Analysis AddIn''' is installed. | ||
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− | : This function | + | : This function calculates the modified duration as the '''modifed''' Macaulay duration of a security, which is a measure of price volatility and interest rate sensitivity. It returns: |
:: Macaulay_duration / (1 + <tt>'''yield'''</tt>/<tt>'''frequency'''</tt>) | :: Macaulay_duration / (1 + <tt>'''yield'''</tt>/<tt>'''frequency'''</tt>) | ||
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=== Example: === | === Example: === | ||
<tt>'''MDURATION("2008-2-28"; "2010-8-31"; 5%; 6%; 2; 0)'''</tt> | <tt>'''MDURATION("2008-2-28"; "2010-8-31"; 5%; 6%; 2; 0)'''</tt> | ||
− | : returns approximately <tt>'''2.33'''</tt> years. | + | : returns approximately <tt>'''2.33'''</tt> years. |
− | === | + | === Issues: === |
− | + | * This function uses <tt>'''YEARFRAC'''</tt> in the calculation. There are known slight inaccuracies (both in Calc and in Excel) in <tt>'''YEARFRAC'''</tt>. | |
− | + | ||
− | [[Documentation/How_Tos/Calc: | + | {{SeeAlso|EN| |
+ | * [[Documentation/How_Tos/Calc: DURATION function|DURATION]] | ||
+ | * [[Documentation/How_Tos/Calc: DURATION_ADD function|DURATION_ADD]] | ||
− | [[Documentation/How_Tos/Calc: Financial | + | * [[Documentation/How_Tos/Calc: Date & Time functions#Financial date systems|Financial date systems]] |
− | [[Documentation/How_Tos/Calc: | + | * [[Documentation/How_Tos/Calc: Financial functions|Financial functions]] |
− | + | ||
− | + | * [[Documentation/How_Tos/Calc: Functions listed alphabetically|Functions listed alphabetically]] | |
− | * | + | * [[Documentation/How_Tos/Calc: Functions listed by category|Functions listed by category]]}} |
+ | [[Category: Documentation/Reference/Calc/Financial functions]] |
Revision as of 09:30, 17 July 2018
CALC FUNCTIONS
- Financial FunctionsDepreciation
- AmordegrcAmorlincDbDdbSlnSydVdbPayment Streams, Annuities, Loans
- CumipmtCumipmt AddCumprincCumpinc AddFvFvscheduleIpmtIrrIspmtMirrNperNpvPmtPpmtPvRateRriXirrXnpvSecurities
- AccrintAccrintmDiscDurationDuration AddEffectiveEffect AddIntrateMdurationNominalNominal AddOddfpriceOddfyieldCoupons
- CoupdaybsCoupdaysCoupdaysncCoupncdCoupnum
Contents
MDURATION
Calculates the modified duration of a security.
This function is only available if the Analysis AddIn is installed.
Syntax:
MDURATION(settlementdate; maturitydate; rate; yield; frequency; basis)
- settlementdate: the settlement (purchase) date of the bond.
- maturitydate: the maturity (redemption) date of the bond.
- rate: the (annual) interest rate of the bond.
- yield: the (annual) yield of the bond.
- frequency: the number of interest payments per year (1, 2 or 4).
- basis: is the calendar system to use. Defaults to 0 if omitted.
- 0 - US method (NASD), 12 months of 30 days each
- 1 - Actual number of days in months, actual number of days in year
- 2 - Actual number of days in month, year has 360 days
- 3 - Actual number of days in month, year has 365 days
- 4 - European method, 12 months of 30 days each
- This function calculates the modified duration as the modifed Macaulay duration of a security, which is a measure of price volatility and interest rate sensitivity. It returns:
- Macaulay_duration / (1 + yield/frequency)
- The Macaulay duration is returned by the DURATION_ADD function. See that description for further details.
Example:
MDURATION("2008-2-28"; "2010-8-31"; 5%; 6%; 2; 0)
- returns approximately 2.33 years.
Issues:
- This function uses YEARFRAC in the calculation. There are known slight inaccuracies (both in Calc and in Excel) in YEARFRAC.
See Also
-