emilioalzamora1
Well-Known Member
Hi All, Hi David,
is it correct to to compute McDuration with the BAII Plus using the "2nd Bond" function"? This yields Modified Duration, but multiplying with 1+YTM gives McDuration.
I am just wondering how it works with quarterly compounding? BAII Plus only has the options "1/Y" or "2/Y" allows only for annual or semiannual yields.
With cont. it is clear, simply take the cont. comp. yield, convert it to discrete using (e.g. 11% yield cont. com.) yields exp(0.11) - 1 = 11,62.
I tried to compute it with using the CF and NPV-function as well, but this does not 100% work out? Any clues how to do it with the CF and NPV-function?
Any input is highly appreciated!
Many thanks
is it correct to to compute McDuration with the BAII Plus using the "2nd Bond" function"? This yields Modified Duration, but multiplying with 1+YTM gives McDuration.
I am just wondering how it works with quarterly compounding? BAII Plus only has the options "1/Y" or "2/Y" allows only for annual or semiannual yields.
With cont. it is clear, simply take the cont. comp. yield, convert it to discrete using (e.g. 11% yield cont. com.) yields exp(0.11) - 1 = 11,62.
I tried to compute it with using the CF and NPV-function as well, but this does not 100% work out? Any clues how to do it with the CF and NPV-function?
Any input is highly appreciated!
Many thanks
, sorry!
