Money Market Risk Statistic Calculations

The risk statistics available from the money market functions are defined and computed in the same way as for the bond functions. The functions can return Macaulay duration, modified duration, convexity, and PVBP.

All of the risk statistics are dependent on either the first or second derivative of price with respect to yield. Based on the standard money market formula, the derivatives are evaluated as follows:

Equation Template

MP = maturity proceeds of the instrument.
y = current yield of the instrument, expressed on a simple interest basis.
DIP = number of days between the settlement date and the maturity date, based on the selected day count basis (always "Actual" for MM instruments).
DIY = assumed number of days in a year, based on the selected day count basis.