## What is the formula to calculate duration

The formula for the duration is a measure of a bond's sensitivity to changes in the interest rate, and it is calculated by **dividing the sum product of discounted future cash inflow of the bond and a corresponding number of years by a sum of the discounted future cash inflow**.

## How do I calculate time difference between two dates in Excel

**Calculate elapsed time between two dates and times**

- Type two full dates and times. In one cell, type a full start date/time.
- Set the 3/14/12 1:30 PM format. Select both cells, and then press CTRL + 1 (or.
- Subtract the two. In another cell, subtract the start date/time from the end date/time.
- Set the [h]:mm format.

## How do you calculate modified duration

The modified duration is calculated by **dividing the dollar value of a one basis point change of an interest rate swap leg, or series of cash flows, by the present value of the series of cash flows.** **The value is then multiplied by 10,000**.

## How do you calculate tenure between months and years in Excel

Then insert this formula (where the start dates are in the D column and the end dates in the E column): **=DATEDIF(D2,E2,"y") & " years, " & DATEDIF(D2,E2,"ym") & " months "**. Here's what it looks like in Excel (color added for clarity): Be sure to format the D and E columns to display dates (see screenshot below).Apr 30, 2005

## What is duration in time

The noun duration has come to mean **the length of time one thing takes to be completed**. The duration of something might be known or not — in past times, the unknown length of time the current war would last was called "the duration.

## What is duration formula in Excel

The Excel DURATION function returns the annual duration of a security with periodic interest payments, calculated with the **Macauley duration formula**. Get annual duration with periodic interest. Duration in years. =DURATION (settlement, maturity, coupon, yld, freq, [basis]) settlement – Settlement date of the security.

## How do I calculate days duration in Excel

To find the number of days between these two dates, you can **enter “=B2-B1” (without the quotes into cell B3)**. Once you hit enter, Excel will automatically calculate the number of days between the two dates entered.

## What is modified duration example

For example, assume bank A and bank B enter into an interest rate swap. The modified duration of the receiving leg of a swap is calculated as nine years and the modified duration of the paying leg is calculated as five years. The resulting modified duration of the interest rate swap is four years (9 years – 5 years).

## How do you calculate modified duration in Excel

Enter "Modified Duration" into cell A8 and the formula "**=MDURATION (B2, B3, B4, B5, B6, B7)**" into cell B8. The resulting modified duration is 7.59.

## How do you calculate the modified duration of a portfolio

To find the modified duration, all an investor needs to do is **take the Macaulay duration and divide it by 1 + (yield-to-maturity / number of coupon periods per year)**. In this example that calculation would be 2.753 / (1.05 / 1), or 2.62%.

## How do you calculate project duration

When you build a schedule you need to understand how to estimate duration. If everyone worked eight hours per day, and was 100% productive for all eight hours, you could easily calculate your estimated project duration by **taking the number of effort hours, divided by the number of resources**.

## Why is modified duration expressed in years

The second type of duration is called modified duration. Unlike Macaulay's duration, modified duration is not measured in years. Modified duration **measures the expected change in a bond's price to a 1% change in interest rates**.

## How do you calculate PVBP

To calculate the PVBP **multiply the modified duration by the dirty price, then divide by 10,000**.

## What is the difference between duration and modified duration

**Duration or Macaulay Duration refers to measurement of weighted average time before having the cash flow, while Modified Duration is more on the percentage change in price in terms of yields**.

## How do you calculate convexity duration

Another way to view it is, convexity is the first derivative of modified duration. By using convexity in the yield change calculation, a much closer approximation is achieved (an exact calculation would require many more terms and is not useful). Using convexity (C) and Dmod then: **% Price Chg.** **= -1 * D mod * Yield Chg**.

## How does YTM affect duration

Duration is inversely related to the bond's yield to maturity (YTM). **Duration can increase or decrease given an increase in the time to maturity** (but it usually increases).

## What are key rate durations

Key rate duration **measures how the value of a debt security or a debt instrument portfolio, generally bonds, changes at a specific maturity point along the entirety of the yield curve**.

## What is money duration of a bond

Dollar duration, sometimes called money duration or DV01, is **based on a linear approximation of how a bond's value will change in response to changes in interest rates**. The actual relationship between a bond's value and interest rates is not linear.