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