Main Content

bnddurp

Bond duration given price

所有的页面崩溃

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, andLastCouponInterest.

Syntax

[ModDuration,YearDuration,PerDuration] = bnddurp(Price,CouponRate,Settle,Maturity)
[ModDuration,YearDuration,PerDuration] = bnddurp(___,Name,Value)

Description

example

[ModDuration,YearDuration,PerDuration] = bnddurp(Price,CouponRate,Settle,Maturity)computes the Macaulay and modified duration ofNUMBONDSfixed-income securities given a clean price for each bond.

bnddurp决定了麦考利和修改时间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).bnddurpalso determines the Macaulay and modified duration for a zero coupon bond.

example

[ModDuration,YearDuration,PerDuration] = bnddurp(___,Name,Value)adds optional name-value pair arguments.

Examples

collapse all

Open Live Script

This example shows how to compute the duration of three bonds given their prices.

Price = [106; 100; 98]; CouponRate = 0.055; Settle ='02-Aug-1999'; Maturity ='15-Jun-2004'; Period = 2; Basis = 0; [ModDuration, YearDuration, PerDuration] = bnddurp(Price,...CouponRate, Settle, Maturity, Period, Basis)
ModDuration =3×14.2400 4.1925 4.1759
YearDuration =3×14.3275 4.3077 4.3007
PerDuration =3×18.6549 8.6154 8.6014
Open Live Script

This example shows how to usedatetimeinputs to compute the duration of three bonds given their prices.

Price = [106; 100; 98]; CouponRate = 0.055; Settle = datetime('02-Aug-1999','Locale','en_US'); Maturity = datetime('15-Jun-2004','Locale','en_US'); Period = 2; Basis = 0; [ModDuration, YearDuration, PerDuration] = bnddurp(Price,...CouponRate, Settle, Maturity, Period, Basis)
ModDuration =3×14.2400 4.1925 4.1759
YearDuration =3×14.3275 4.3077 4.3007
PerDuration =3×18.6549 8.6154 8.6014

Input Arguments

collapse all

Clean price (excludes accrued interest), specified as numeric value using a scalar or aNUMBONDS-by-1or1-by-NUMBONDSvector.

Data Types:double

Annual percentage rate used to determine the coupons payable on a bond, specified as decimal value using a scalar or aNUMBONDS-by-1or1-by-NUMBONDSvector.

Data Types:double

Settlement date for the certificate of deposit, specified as a scalar or aNUMBONDS-by-1or1-by-NUMBONDSvector using serial date numbers, date character vectors, or datetime arrays. TheSettledate must be before theMaturitydate.

Data Types:double|char|datetime

Maturity date for the certificate of deposit, specified as a scalar or aNUMBONDS-by-1or1-by-NUMBONDSvector using serial date numbers, date character vectors, or datetime arrays.

Data Types:double|char|datetime

Name-Value Arguments

Specify optional pairs of arguments asName1=Value1,...,NameN=ValueN, whereNameis the argument name andValueis the corresponding value. Name-value arguments must appear after other arguments, but the order of the pairs does not matter.

Before R2021a, use commas to separate each name and value, and encloseNamein quotes.

Example:[ModDuration,YearDuration,PerDuration] = bnddurp(Price,CouponRate,Settle,Maturity,'Period',4,'Basis',7)

Number of coupon payments per year, specified as the comma-separated pair consisting of'Period'and a scalar or aNUMBONDS-by-1or1-by-NUMBONDSvector using the values:0,1,2,3,4,6, or12.

Data Types:double

Day-count of the instrument, specified as the comma-separated pair consisting of'Basis'and a scalar or aNUMBONDS-by-1or1-by-NUMBONDSvector using a supported value:

  • 0 = actual/actual

  • 1 = 30/360 (SIA)

  • 2 = actual/360

  • 3 = actual/365

  • 4 = 30/360 (PSA)

  • 5 = 30/360 (ISDA)

  • 6 = 30/360 (European)

  • 7 = actual/365 (Japanese)

  • 8 = actual/actual (ICMA)

  • 9 = actual/360 (ICMA)

  • 10 = actual/365 (ICMA)

  • 11 = 30/360E (ICMA)

  • 12 = actual/365 (ISDA)

  • 13 = BUS/252

For more information, seeBasis.

Data Types:double

End-of-month rule flag, specified as the comma-separated pair consisting of'EndMonthRule'and a scalar or aNUMBONDS-by-1or1-by-NUMBONDSvector. This rule applies only whenMaturityis an end-of-month date for a month having 30 or fewer days.

  • 0= Ignore rule, meaning that a bond coupon payment date is always the same numerical day of the month.

  • 1= Set rule on, meaning that a bond coupon payment date is always the last actual day of the month.

Data Types:logical

Bond Issue date, specified as the comma-separated pair consisting of'IssueDate'and a scalar or aNUMBONDS-by-1or1-by-NUMBONDSvector using serial date numbers, date character vectors, or datetime arrays.

If you do not specify anIssueDate, the cash flow payment dates are determined from other inputs.

Data Types:double|char|datetime

Irregular or normal first coupon date, specified as the comma-separated pair consisting of'FirstCouponDate'and a scalar or aNUMBONDS-by-1or1-by-NUMBONDSvector using serial date numbers, date character vectors, or datetime arrays.

If you do not specify aFirstCouponDate, the cash flow payment dates are determined from other inputs.

Data Types:double|char|datetime

Irregular or normal last coupon date, specified as the comma-separated pair consisting of'LastCouponDate'and a scalar or aNUMBONDS-by-1or1-by-NUMBONDSvector using serial date numbers, date character vectors, or datetime arrays.

If you do not specify aLastCouponDate, the cash flow payment dates are determined from other inputs.

Data Types:double|char|datetime

向前paym的开始日期ents, specified as the comma-separated pair consisting of'StartDate'and a scalar or aNUMBONDS-by-1or1-by-NUMBONDSvector using serial date numbers, date character vectors, or datetime arrays. TheStartDateis when a bond actually starts (the date from which a bond cash flow is considered). To make an instrument forward-starting, specify this date as a future date.

If you do not specify aStartDate, the effective start date is theSettledate.

Data Types:double|char|datetime

Face value of the bond, specified as the comma-separated pair consisting of'Face'and a scalar or aNUMBONDS-by-1or1-by-NUMBONDSvector.

Data Types:double

Compounding frequency for yield calculation, specified as the comma-separated pair consisting of'CompoundingFrequency'and a scalar or aNUMBONDS-by-1or1-by-NUMBONDSvector.

  • 1— Annual compounding

  • 2— Semiannual compounding

  • 3— Compounding three times per year

  • 4— Quarterly compounding

  • 6— Bimonthly compounding

  • 12— Monthly compounding

Note

By default, SIA bases (0-7) andBUS/252use a semiannual compounding convention and ICMA bases (8-12) use an annual compounding convention.

Data Types:double

Basis used to compute the discount factors for computing the yield, specified as the comma-separated pair consisting of'DiscountBasis'and a scalar or aNUMBONDS-by-1or1-by-NUMBONDSvector. Values are:

  • 0 = actual/actual

  • 1 = 30/360 (SIA)

  • 2 = actual/360

  • 3 = actual/365

  • 4 = 30/360 (PSA)

  • 5 = 30/360 (ISDA)

  • 6 = 30/360 (European)

  • 7 = actual/365 (Japanese)

  • 8 = actual/actual (ICMA)

  • 9 = actual/360 (ICMA)

  • 10 = actual/365 (ICMA)

  • 11 = 30/360E (ICMA)

  • 12 = actual/365 (ISDA)

  • 13 = BUS/252

For more information, seeBasis.

Note

If a SIA day-count basis is defined in theBasisinput argument and there is no value assigned forDiscountBasis, the default behavior is for SIA bases to use the actual/actual day count to compute discount factors.

If an ICMA day-count basis or BUS/252 is defined in theBasisinput argument and there is no value assigned forDiscountBasis, the specified bases from theBasisinput argument are used.

Data Types:double

Compounding convention for computing the yield of a bond in the last coupon period, specified as the comma-separated pair consisting of'LastCouponInterest'and a scalar or aNUMBONDS-by-1or1-by-NUMBONDSvector.LastCouponInterestis based on only the last coupon and the face value to be repaid. Acceptable values are:

  • simple

  • compound

Data Types:char|cell

Output Arguments

collapse all

Modified duration in years reported on a semiannual bond basis (in accordance with SIA convention), returned as aNUMBONDS-by-1vector.

Macaulay duration in years, returned as aNUMBONDS-by-1vector.

Periodic Macaulay duration reported on a semiannual bond basis (in accordance with SIA convention), returned as aNUMBONDS-by-1vector.

References

[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.

Version History

Introduced before R2006a

See Also

||||

Topics