BondMSquare() functionBondMSquare (argument list…)
This function returns the M-squared measure of a bond. M-squared is a risk measure due to Fong and Vasicek (see references). The function uses 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 |
| Horizon_Date | horizon date for the M-squared calculation | >= settlement date < maturity date |
| 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) |
| Coupon | annual bond coupon rate in decimal form (e.g. six percent entered as 0.06) | >= 0 |
| YTM | bond yield to maturity in decimal form | >= 0 |
| Frequency | number of bond coupons per annum | 1, 2, 4, or 12 |
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