Using Excel’s “LAMBDA” Function to Compute Modified Duration, Dollar Duration, and Bond Convexity
Excel’s new “=LAMBDA” function is useful in creating new spreadsheet functions that measure bond price sensitivity to changes in a bond’s yield-to-maturity in the form of modified duration, dollar duration, and convexity. These new functions are not part of the standard Excel function library, which makes them very beneficial to any investor’s spreadsheet function library.
Authors
- Joseph Farizo (ORCID: https://orcid.org/0000-0001-8130-6252)
- Tom Arnold (ORCID: https://orcid.org/0000-0001-7196-7831)
- Andrew C. Szakmary (ORCID: https://orcid.org/0000-0002-8573-9642)
- Nancy Tran
Institutions
- University of Richmond (US)
Publication Details
- Journal
- The journal of wealth management
- Published
- 2024-12-04
- DOI
- https://doi.org/10.3905/jwm.2024.1.257
- Primary Topic
- Financial Reporting and Valuation Research
- Type
- article
- Field-Weighted Citation Impact
- 0.00