Yield to Maturity and Duration Calculator 3/31/2017

Uses an Excel macro to calculate yield to maturity (YTM) and duration for a portfolio of bonds. Will work with any bonds, but is customized to use outstanding TIPS with latest prices pasted from Wall Street Journal web site. Includes Detail sheet that uses formulas to show how YTM and duration are calculated for one bond. Includes Weight sheet to compute weighted averages for five maturity groups of TIPS.

YTM & Maturity

Change log:
06/25/11: Initial version
10/28/12: Add Weight sheet to compute weighted averages
11/02/12: Add three YTM Sensitivity columns to Weight sheet
04/25/14: Add maturity breakdown of 1+ index
10/24/14: Add 1-10 index
01/23/15: Mod lookup to handle two TIPS maturing on same date
12/30/16: Update prices and weighting as of 3/31/2017

Click following link to download: YTM_Duration_Macro.XLS