Modified Duration

L

Liz23

I am trying to replicate excel's Mduration calculation and the Price
calculation. I am coming out right with the price of the bond, however my
problem is with duration. If I use time to maturity in years my Mduration
matches. However, if my time to maturity is say 6.3 years, the numbers are
different. Does anyone have any feedback on this? Are there limitations on
how excel calculates Mduration? Does anyone know how excel calculates
Mduration?

Any feedback would be great. Thanks!
 
N

Niek Otten

According to online help for Excel:

MDURATION = DURATION/(1+(Market yield/Coupon payments per year))
 

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