mduration
Modified duration of a bond.
Syntax
Section titled “Syntax”v = mduration(settlement, maturity, coupon, yld, frequency, basis)Description
Section titled “Description”Returns duration(...) / (1 + yld/frequency) — the price sensitivity to yield changes. Useful for measuring interest-rate risk.
Example
Section titled “Example”mduration('2008-01-01', '2018-01-01', 0.08, 0.09, 2)See also
Section titled “See also”duration— Macaulay duration of a bond.