INVESTMENT_MDURATION

Modified Macaulay duration of security paying periodic interest

Description
Calculates the modified Macaulay duration of a security that pays periodic interest based on a given expected yield.
Function signature
INVESTMENT_MDURATION(settlement: String, maturity: String, rate: Number, yield: Number, frequency: Number, basis: String = us_nasd) => Number
Parameter
Description
Settlement
The security's settlement date.
Maturity
The security's maturity or end date.
Rate
The annualized rate of interest.
Yield
The expected annual yield of the security.
Frequency
Yearly interest/coupon payments count (1, 2, or 4).
Basis
Method to use for counting days per month/year:
`us_nasd` (default): 30-day month, 360-day year, i.e. US (NASD).
`actual`: Actual number of days per month/year.
`actual_360`: 360 day year, actual number of days per month.
`actual_365`: 365 day year, actual number of days per month. This means leap years are not taken into account.
`european`: Like `us_nasd`, but for months that are not 30 days long, European standards are used.
Examples
date1 = "2010-01-01T13:06:15+03:00"
date2 = "2039-01-01T13:06:15+03:00"
date3 = "2009-01-30T13:06:15+03:00"
date4 = "2023-07-30T13:06:15+03:00"
Formula
Return value
INVESTMENT_MDURATION(date1, date2, 0.03, 0.12, 2, "us_nasd")
9.83962981
INVESTMENT_MDURATION(date1, date2, 0.03, 0.12, 2)
9.83962981
INVESTMENT_MDURATION(date3, date4, 0.05, 1.5, 4, "us_nasd")
0.66666939
INVESTMENT_MDURATION(date3, date4, 0.05, 1.5, 4, "actual_360")
0.81616434

INVESTMENT_DURATION

INVESTMENT_PDURATION

Last updated 9 months ago

Formula	Return value
`INVESTMENT_MDURATION(date1, date2, 0.03, 0.12, 2, "us_nasd")`	`9.83962981`
`INVESTMENT_MDURATION(date1, date2, 0.03, 0.12, 2)`	`9.83962981`
`INVESTMENT_MDURATION(date3, date4, 0.05, 1.5, 4, "us_nasd")`	`0.66666939`
`INVESTMENT_MDURATION(date3, date4, 0.05, 1.5, 4, "actual_360")`	`0.81616434`

Parameter	Description
Settlement	The security's settlement date.
Maturity	The security's maturity or end date.
Rate	The annualized rate of interest.
Yield	The expected annual yield of the security.
Frequency	Yearly interest/coupon payments count (1, 2, or 4).
Basis	Method to use for counting days per month/year: `us_nasd` (default): 30-day month, 360-day year, i.e. US (NASD). `actual`: Actual number of days per month/year. `actual_360`: 360 day year, actual number of days per month. `actual_365`: 365 day year, actual number of days per month. This means leap years are not taken into account. `european`: Like `us_nasd`, but for months that are not 30 days long, European standards are used.