Function SecurityPeriodicDurationModified(SettlementDate, MaturityDate, ParValue, Redemption, Frequency, CouponRate, Yield, Basis)

SecurityPeriodicDurationModified

The function SecurityPeriodicDurationModified returns the modified Macauley duration of a security that pays interest at the end of each coupon period.

SecurityPeriodicDurationModified(
    SettlementDate,           ! (input) scalar string expression
    MaturityDate,             ! (input) scalar string expression
    ParValue,                 ! (input) numerical expression
    Redemption,               ! (input) numerical expression
    Frequency,                ! (input) numerical expression
    CouponRate,               ! (input) numerical expression
    Yield,                    ! (input) numerical expression
    [Basis]                   ! (optional) numerical expression
    )

Arguments

SettlementDate

The date of settlement of the security. SettlementDate must be in date format.

MaturityDate

The date of maturity of the security. MaturityDate must also be in date format and must be a date after SettlementDate.

ParValue

The starting value of the security at issue date. ParValue must be a positive real number.

Redemption

The amount repaid for the security at the maturity date. Redemption must be a positive real number.

Frequency

The number of coupon payments in one year. Frequency must be 1 (annual), 2 (semi-annual) or 4 (quarterly).

CouponRate

The annual interest rate of the security as a percentage of the par value. CouponRate must be a nonnegative real number.

Yield

The yield of the security. Yield must be a nonnegative real number.

Basis

The day-count basis method to be used. The default is 1.

Return Value

The function SecurityPeriodicDurationModified returns the modified Macauley duration of a security that pays interest at the end of each coupon period.

Equation

The modified duration \(D_{\textit{mod}}\) is computed through the equation

\[D_{\textit{mod}} = \frac{D}{1+\frac{r_y}{f}}\]

where \(D\) is the Macauley duration.

Note

• This function can be used in an objective function or constraint and the input parameters ParValue, Redemption, CouponRate, and Yield can be used as a variable.

• The function SecurityPeriodicDurationModified is similar to the Excel function MDURATION.

See also

The function SecurityPeriodicDuration. Day count basis methods. General equations for securities with multiple coupons.