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Duration can be calculated using spreadsheet formulas. Data must be entered as follows 18-1 Date is entered as DATE (year, month, day) Date is entered
Duration can be calculated using spreadsheet formulas. Data must be entered as follows 18-1 Date is entered as DATE (year, month, day) Date is entered as DATE (year, month, day) Settlement date Maturity date Coupon as a decimal Required yield as a decimal Frequency of payments Use the formula = DURATION(A1, A2, A3, A4, A5) for duration and = MDURATION (A1, A2, A3, A4, A5) for modified duration. Example-Calculate the duration and modified duration for a 6 percent, seven- year bond with a required yield of 5 percent. This is done as follows (note that dates are seven years apart, resulting in the format as illustrated): 2/16/2009 2/16/2016 0.06 0.05 Settlement date = DATE(year,m,d) Maturity date = DATE(year,md) Coupon rate as decimal Required yield as decimal Frequency of coupons Macaulay duration Modified duration 5.86 5.7 Duration can be calculated using spreadsheet formulas. Data must be entered as follows 18-1 Date is entered as DATE (year, month, day) Date is entered as DATE (year, month, day) Settlement date Maturity date Coupon as a decimal Required yield as a decimal Frequency of payments Use the formula = DURATION(A1, A2, A3, A4, A5) for duration and = MDURATION (A1, A2, A3, A4, A5) for modified duration. Example-Calculate the duration and modified duration for a 6 percent, seven- year bond with a required yield of 5 percent. This is done as follows (note that dates are seven years apart, resulting in the format as illustrated): 2/16/2009 2/16/2016 0.06 0.05 Settlement date = DATE(year,m,d) Maturity date = DATE(year,md) Coupon rate as decimal Required yield as decimal Frequency of coupons Macaulay duration Modified duration 5.86 5.7
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