Macaulay Duration VBA Function For MBS (or single loans), Given Market Yield

This is the third in a series of VBA, User Defined Functions for Mortgage Backed Securities. The other two solved for price given yield and yield given price. Actually the sixth if you include the functions solving for the market value of servicing, IO, and PO). As was true of the¬†previous two¬†functions, it allows for a number of option. It also, as before, includes an amortization schedule as a proof of the function’s calculations.

Downloadhttp://pistulka.com/Excel_Shared/MortgageDuration.xlsm

Don Pistulka
Don Pistulka

Retired Credit Union CFO - Finance
Background: over 40 years in investments, asset/Liability management, banking, securities trader.
Worked for: California Credit Union, WesCorp, CalFed S&L, Crocker Bank, Carroll McEntee, Federal Home Loan Bank Board (D.C.), Western Asset Management, Security Pacific National Bank.

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