Difference between revisions of "Documentation/How Tos/Calc: MDURATION function"
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| − | __NOTOC__ | + | {{DISPLAYTITLE: MDURATION function}} |
| + | {{Documentation/CalcFunc FinancialTOC | ||
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== 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 '''modified''' 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]] | ||
Latest revision as of 11:00, 31 January 2024
- Financial FunctionsDepreciation
- AMORDEGRCAMORLINCDBDDBSLNSYDVDBPayment Streams, Annuities, Loans
- CUMIPMTCUMIPMT_ADDCUMPRINCCUMPRINC ADDFVFVSCHEDULEIPMTIRRISPMTMIRRNPERNPVPMTPPMTPVRATERRIXIRRXNPVSecurities
- ACCRINTACCRINTMDISCDURATIONDURATION ADDEFFECTIVEEFFECT ADDINTRATEMDURATIONNOMINALNOMINAL ADDODDFPRICEODDFYIELDODDLPRICEODDLYIELDCoupons
- COUPDAYBSCOUPDAYSCOUPDAYSNCCOUPNCDCOUPNUM
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 modified 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
-
