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Modified Duration
I am trying to replicate excel's Mduration calculation and the Price
calculation. I am coming out right with the price of the bond, however my problem is with duration. If I use time to maturity in years my Mduration matches. However, if my time to maturity is say 6.3 years, the numbers are different. Does anyone have any feedback on this? Are there limitations on how excel calculates Mduration? Does anyone know how excel calculates Mduration? Any feedback would be great. Thanks! |
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#2
Posted to microsoft.public.excel.worksheet.functions
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Modified Duration
According to online help for Excel:
MDURATION = DURATION/(1+(Market yield/Coupon payments per year)) -- Kind regards, Niek Otten "Liz23" wrote in message ... I am trying to replicate excel's Mduration calculation and the Price calculation. I am coming out right with the price of the bond, however my problem is with duration. If I use time to maturity in years my Mduration matches. However, if my time to maturity is say 6.3 years, the numbers are different. Does anyone have any feedback on this? Are there limitations on how excel calculates Mduration? Does anyone know how excel calculates Mduration? Any feedback would be great. Thanks! |
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