Bond duration given yield
In R2017b, the specification of optional input arguments has changed. While the
previous ordered inputs syntax is still supported, it may no longer be supported in a
future release. Use the optional name-value pair inputs: Period
,
Basis
, EndMonthRule
,
IssueDate
,FirstCouponDate
,
LastCouponDate
,
StartDate
,Face
,
CompoundingFrequency
, DiscountBasis
, and
LastCouponInterest
.
[
computes the Macaulay and modified duration of ModDuration
,YearDuration
,PerDuration
] = bnddury(Yield
,CouponRate
,Settle
,Maturity
)NUMBONDS
fixed
income securities given yield to maturity for each bond.
bnddury
determines the Macaulay and modified duration for a
bond whether the first or last coupon periods in the coupon structure are short or
long (that is, whether the coupon structure is synchronized to maturity).
bnddury
also determines the Macaulay and modified duration
for a zero coupon bond.
[
adds optional name-value pair arguments. ModDuration
,YearDuration
,PerDuration
] = bnddury(___,Name,Value
)
[1] Krgin, D. Handbook of Global Fixed Income Calculations. Wiley, 2002.
[2] Mayle, J. "Standard Securities Calculations Methods: Fixed Income Securities Formulas for Analytic Measures." SIA, Vol 2, Jan 1994.
[3] Stigum, M., Robinson, F. Money Market and Bond Calculation. McGraw-Hill, 1996.