Difference between revisions of "Documentation/How Tos/Calc: MDURATION function"
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* This function uses <tt>'''YEARFRAC'''</tt> in the calculation. There are known slight inaccuracies (both in Calc and in Excel) in <tt>'''YEARFRAC'''</tt>. | * This function uses <tt>'''YEARFRAC'''</tt> in the calculation. There are known slight inaccuracies (both in Calc and in Excel) in <tt>'''YEARFRAC'''</tt>. | ||
− | {{ | + | {{SeeAlso|EN| |
* [[Documentation/How_Tos/Calc: DURATION function|DURATION]] | * [[Documentation/How_Tos/Calc: DURATION function|DURATION]] | ||
* [[Documentation/How_Tos/Calc: DURATION_ADD function|DURATION_ADD]] | * [[Documentation/How_Tos/Calc: DURATION_ADD function|DURATION_ADD]] |
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
-