Mduration and Duration in Excel

[Lanaz]

Hey guys,

I've been trying to compute the mduration and duration function in excel. However, we are not allowed to use MDURATION or DURATION according to the lecturer.

We have input variables: face value, coupon %, maturity(years), current price, yield.When any of those variables change, our answer is supposed to update automatically.

Does anyone have any idea on how to compute this in excel? I don't have VDA so that is not an option either.

 

[cyrilbrd]

Hey guys,

I've been trying to compute the mduration and duration function in excel. However, we are not allowed to use MDURATION or DURATION according to the lecturer.

We have input variables: face value, coupon %, maturity(years), current price, yield.When any of those variables change, our answer is supposed to update automatically.

Does anyone have any idea on how to compute this in excel? I don't have VDA so that is not an option either.

Hi, are you looking for an alternate way to compute the macaulay duration?
What data are you given?
Settlement date and Maturity date or just a maturity in years?
Coupon Rate, Yield or no yield?
type of frequency? annual, semi annual...
Thanks to develop, it is difficult for the members to give you feedback without knowing what was given to you in the first place.