BondDuration(), BondMDuration() and BondConvexity() functions  Previous topicNext topicFirst topicLast topic


BondDuration(), BondMDuration() and BondConvexity() functions

BondDuration(argument list…)

BondMDuration(argument list…)

BondConvexity(argument list…)

These functions return the Macaulay duration, modified duration, and convexity, respectively, of a bond. Duration and modified duration are measures of the present value-weighted average time to maturity. Convexity is a measure of the curvature of the bond price/yield relationship.The functions use the following arguments:

Argument Description Restrictions
Settlement_Date bond settlement date valid Excel date number
Maturity_Date bond maturity date valid Excel date number
>= Settlement_Date
Coupon annual bond coupon in decimal form (e.g. six percent entered as 0.06). For zero coupon (strip) bonds, enter 0. >= 0
YTM bond yield to maturity in decimal form >= 0
DCB day count basis 0 = 30/360 (US)
1 = act/act for CAD/US T-Bonds
2 = act/360
3 = act/365
4 = 30/360 (European)
Frequency number of bond coupons per annum (in the case of zero coupon bonds, indicates the compounding frequency) 1, 2, 4, or 12


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