Documentation/How Tos/Calc: MDURATION function

From Apache OpenOffice Wiki
< Documentation‎ | How Tos
Revision as of 09:30, 17 July 2018 by Sancho (Talk | contribs)

(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
Jump to: navigation, search


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
Retrieved from "https://wiki.openoffice.org/w/index.php?title=Documentation/How_Tos/Calc:_MDURATION_function&oldid=243589"
Views
Personal tools
Navigation
Print/export
Tools