financial.macaulay_duration

Calculate the Macaulay Duration of a bond. Reference: https://www.investopedia.com/terms/m/macaulayduration.asp

Functions

macaulay_duration(→ float)

Calculates the Macaulay Duration of a bond.

Module Contents

financial.macaulay_duration.macaulay_duration(face_value: float, coupon_rate: float, periods: int, yield_rate: float) → float

Calculates the Macaulay Duration of a bond.

Parameters:

  • face_value – The final payout amount of the bond.

  • coupon_rate – The annual interest rate paid by the bond.

  • periods – The number of years until the bond matures.

  • yield_rate – The current market interest rate used to discount future cash flows.

Returns:

The Macaulay Duration of the bond in years.

>>> round(macaulay_duration(1000.0, 0.05, 8, 0.04), 2)
6.83
>>> round(macaulay_duration(987435.34, 0.07, 5, 0.038), 2)
4.43
>>> round(macaulay_duration(3564.2, 0.023, 6, 0.071), 2)
5.62
>>> macaulay_duration(-1000.0, 0.05, 8, 0.04)
Traceback (most recent call last):
    ...
ValueError: face_value must be > 0
>>> macaulay_duration(1000.0, -0.05, 8, 0.04)
Traceback (most recent call last):
    ...
ValueError: coupon_rate must be >= 0
>>> macaulay_duration(1000.0, 0.05, 0, 0.04)
Traceback (most recent call last):
    ...
ValueError: periods must be > 0
>>> macaulay_duration(1000.0, 0.05, 8, -0.04)
Traceback (most recent call last):
    ...
ValueError: yield_rate must be > 0