MDURATION
A bond's modified duration.
Group: Financial. Compatible with DAX.
Syntax
MDURATION ( <settlement>, <maturity>, <coupon>, <yld>, <frequency> [, <basis>] )| Parameter | Type | Description |
|---|---|---|
settlement | Date | The day the buyer takes the security over; later than its issue. |
maturity | Date | The day the security ends and its face value is repaid. |
coupon | Number | The coupon rate a year, as a decimal. |
yld | Number | The yield a year the buyer earns, as a decimal. |
frequency | Whole number | Coupons a year: 1 for yearly, 2 for half-yearly, 4 for quarterly. |
basis | Whole number optional | The day count, by number: US 30/360 (0, when left out), actual/actual (1), actual/360 (2), actual/365 (3) or European 30/360 (4). |
Returns
Number. The modified duration: the Macaulay duration divided by 1 + yld / frequency.
Remarks
- It tells how much the price moves with the yield: a modified duration of 5.7 means a rise of 0.01 in the yield (one percentage point) lowers the price by about 5.7 %.
- A coupon or yield below 0, or settlement on or after maturity, is an error.
- The dates are taken as whole days. frequency and basis are rounded to whole numbers first; a frequency other than 1, 2 or 4, or a basis outside 0 to 4, is an error.
Examples
An eight-year bond
8 % half-yearly coupons at a 9 % yield.
EVALUATE
ROW (
"DURATION", DURATION ( DATE ( 2008, 1, 1 ), DATE ( 2016, 1, 1 ), 0.08, 0.09, 2, 1 ),
"MDURATION", MDURATION ( DATE ( 2008, 1, 1 ), DATE ( 2016, 1, 1 ), 0.08, 0.09, 2, 1 )
)| DURATION | MDURATION |
|---|---|
| 5.99377495554519 | 5.73566981391884 |