DURP

DURP

Returns the modified duration for a periodic cashflow stream, such as a bond

Category: Financial

Syntax

DURP(A,c,n,K,k₀,y)

A

the par value.

Range:

A > 0

c

the nominal per-period coupon rate, expressed as a fraction.

Range:

0 < c < 1

n

the number of coupons per period.

Range:

n > 0 and is an integer

K

the number of remaining coupons.

Range:

K > 0 and is an integer

k₀

the time from present to the first coupon date, expressed in terms of the number of periods.

Range:

0 < k₀ < 1/n

y

the nomimal per-period yield-to-maturity, expressed as a fraction.

Range:

y > 0

The DURP function returns the value

[IMAGE]

where

for k=1, ..., K-1

and where

[IMAGE]

d=durp(1000,1/100,4,14,.33/2,.10);

The value returned is 3.26496.