Using Excel’s “LAMBDA” Function to Compute Modified Duration, Dollar Duration, and Bond Convexity

Authors

Tom Arnold, University of RichmondFollow
Joseph Farizo, University of RichmondFollow
Andrew C. Szakmary, University of RichmondFollow
Nancy Tran, University of RichmondFollow

Abstract

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.

We provide instructions on how to implement the =LAMBDA function to more than just the creation of the bond application functions.

Document Type

Working Paper

Publication Date

8-28-2024

Recommended Citation

Arnold, Tom, C., Joseph Farizo, Andrew C. Szakmary, and Nancy Tran. "Using Excel’s “LAMBDA” Function to Compute Modified Duration, Dollar Duration, and Bond Convexity," University of Richmond Robins School of Business, (2024): 1-13.