Andrew C Szakmary

Aug 29, 2024 | scholarship.richmond.edu | Tom Arnold |Joseph Farizo |Andrew C Szakmary |Nancy K. Tran

We create a modified duration function that is more accessible than Excel’s current Macaulay duration function (=DURATION) which requires several details about the bond. The dollar duration and convexity functions are not currently available in Excel’s default functions. When these functions are copied to a second Excel file, the functions automatically become available as functions within the second file without the need for recreating the functions.

Mar 16, 2024 | scholarship.richmond.edu | Tom Arnold |Andrew C Szakmary

AbstractBy breaking the mathematical derivation of Macaulay Duration, Modified Duration, and Bond Convexity into smaller easily calculated component parts, a more manageable means of calculation for these bond measures emerges for the student. Further, an Excel spreadsheet or an algorithm within a programming language can also be implemented using these smaller component calculations. The Excel template provided can be made into an assignment or used as a resource for the student.