Macaulay Duration 03-05-2020 20:37 PM - last edited 10-25-2021 09:26 AM

[Greg_Deckler]

As explained, here, a DAX implementation of the 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])

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