Hi, may I ask if there are any functionality in Alteryx for calculate modified duration.
https://www.investopedia.com/terms/m/modifiedduration.asp
Hi @hoiki426 ,
In your data, do you have all information needed to compute the Modified Duration ?
yes, I have coupon rate, yield, maturity date and start date
HI @hoiki426
I attached an example of a calculation for the modified duration. This should give you a good understanding of how to do it. I used the provided example from Investopedia to build this out.
Pedro.
@pedrodrfaria Nice work and you must be really good at Math.😁
COB Date MATURITY DATE COUPON FINAL_YIELD
30-Jun-20 5-Aug-20 6.55 3.85
30-Jun-20 30-Jun-21 6.55 3.85
30-Jun-20 5-Aug-21 6.55 3.85
30-Jun-20 30-May-21 6.55 3.85
30-Jun-20 30-Apr-21 6.55 3.85
@pedrodrfaria @Jean-Balteryx
Thanks for the reply. It seems that the workflow above is with fixed payment period (i.e., 3).
If I have a data set above, may I seek your help how shall we construct general formula to calculate modified duration?
