MDURATION
Updated: 5 August 2010
Use MDURATION to calculate the modified duration for a security with an assumed par value of 100.
Syntax
SELECT [westclintech].[wct].[MDURATION] (
<@Settlement, datetime,>
,<@Maturity, datetime,>
,<@Coupon, float,>
,<@Yld, float,>
,<@Frequency, float,>
,<@Basis, nvarchar(4000),>)
Arguments
@Settlement
the settlement date of the security. @Settlement is an expression that returns a datetime or smalldatetime value, or a character string in date format.
@Maturity
the maturity date of the security. @Maturity is an expression that returns a datetime or smalldatetime value, or a character string in date format.
@Coupon
the security’s annual coupon rate. @Coupon is an expression of type float or of a type that can be implicitly converted to float.
@Yld
the security’s annual yield. @Yld is an expression of type float or of a type that can be implicitly converted to float.
@Frequency
the number of coupon payments per year. For annual payments, @Frequency = 1; for semi-annual, @Frequency = 2; for quarterly, @Frequency = 4; for monthly, @Frequency = 12. @Frequency is an expression of type float or of a type that can be implicitly converted to float.
@Basis
is the type of day count to use. @Basis is an expression of the character string data type category.
|
@Basis
|
Day count basis
|
|
0 or omitted
|
US (NASD) 30/360
|
|
1
|
Actual/Actual
|
|
2
|
Actual/360
|
|
3
|
Actual/365
|
|
4
|
European 30/360
|
Return Type
float
Remarks
· If @Yld < 0 or if @Coupon < 0, MDURATION returns an error
· If the @Frequency is any number other than 1, 2, 4, or 12, MDURATION returns an error
· If @Settlement > @Maturity, MDURATION returns an error
· If the @Basis < 0 or the @Basis > 4, MDURATION returns an error
Examples
SELECT wct.MDURATION ('12/22/2007'
,'12/15/2009'
,0.05
,0.06
,2
,0)
Here is the result set
----------------------
1.85222452413439