Calculating Yield and MAC Duration of a Bond

[AndresOHV]

Hello!

I'am doing this matrix made in excel:

It shows the interes, amortization and total cash flow of a bond.

I need to calculate the Yield considering the purchase date (negative value) and not the previous cash flows. I think I'm not able to use the YIELD function because it doesn't apply to Step up bonds (with different amortization coupons).

After that I need to calculate the columns (t, PVCashFlows and MAC) to sum this last and get the Macaulay Duration. 

Can anyone help me with this?

[Anonymous]

Hi @AndresOHV ,

Please review the following thread, hope it can help you resolve the problem.

Macaulay Duration

Macaulay Duration = 
    VAR __InterestRate = .06
    VAR __PeriodNumber = 2
    VAR __Table = 'Table'
    VAR __Table1 = 
        ADDCOLUMNS(
            ADDCOLUMNS(
                __Table,
                "__Discount", 1 / (1 + __InterestRate/__PeriodNumber)^[Index]
            ),
            "__PV Cash Flow",[Index] * [Value] * [Discount],
            "__Current Bond Price",[Value] / (1 + __InterestRate/__PeriodNumber)^[Index]
        )
RETURN
    SUMX(__Table1,[__PV Cash Flow]) / SUMX(__Table1,[__Current Bond Price])

If the above one can't help you, please provide some sample data in your tables (exclude sensitive data) with Text format and your expected result with calculation logic and special examples. It is better if you can share a simplified pbix file. You can refer the following link to upload the file to the community. Thank you.

How to upload PBI in Community

Best Regards

[AndresOHV]

Hello @Anonymous !

Thank you for your reply. 

Unfortunately this is not working.

I need to first calculate the yield and there's where I have the problem. In excel I use the XIRR formula but I can't use one in Power BI because I need it to be calculated at the purchase moment (negative cash flow).

I'm adding a link to the PBI file below:

https://1drv.ms/u/s!AvSFZ2hooRIDgdc7_vDW4hDQ4eNQ9Q?e=OJPmH7

Hope you can see it.