Business Commons^™

Using Excel’S “Lambda” Function To Compute Modified Duration, Dollar Duration, And Bond Convexity, Tom Arnold, Joseph Farizo, Andrew C. Szakmary, Nancy Tran

Finance Faculty Publications

We create a modified duration function that is more accessible than Excel’s current Macaulay duration function (=DURATION) which requires several details about the bond.

The dollar duration and convexity functions are not currently available in Excel’s default functions. When these functions are copied to a second Excel file, the functions automatically become available as functions within the second file without the need for recreating the functions.

We provide instructions on how to implement the =LAMBDA function to more than just the creation of the bond application functions.

Crypto Currency Exchange And Mining Excel Simulations, Tom Arnold, Joseph Farizo, Jonathan M. Godbey

Finance Faculty Publications

The mathematics underlying blockchain-based cryptocurrencies is beyond the scope of most undergraduate finance programs. However, students should understand the intuition behind blockchain so that they might better understand how to apply this technology to future cases. In this paper, we develop a mathematically simple digital signature example and a mathematically simple proof-of-work simulation for classroom use.

Using Excel’S “Lambda” Feature To Produce Multi-Stage Stock Pricing Functions For The Classroom, Tom Arnold, Joseph Farizo, Jonathan Godbey

Finance Faculty Publications

Excel’s new “=LAMBDA” function is applied to multi-stage stock pricing. This provides a context for implementing the =LAMBDA function, a greater understanding of the concept of the time value of money, and a reduction in the complexity of performing the calculation. The =LAMBDA functions lessens the need for using VBA and macros and only requires basic knowledge of Excel function syntax.

Converting Npv And Irr Cash Flows Into A Financial Calculator Using An Excel Template, Tom Arnold, Summer Liu, Cassandra D. Marshall

Finance Faculty Publications

An Excel template is developed that converts a series of cash flows on a timeline into the associated keystrokes for the TI BAII-Plus financial calculator in order to calculate NPV and IRR. Unlike videos and other presentations, the student is able to see, all at once, the keystrokes required for the financial calculator within the template after the student enters the correct inputs for how the cash flows occur through time. Many times, this crucial link of translating the cash flows through time into the financial calculator is lost. Further exercises are provided to reinforce proficiency.

The Abcs Of Modified Bond Duration And Wxyzs Of Bond Convexity, Tom Arnold, Andrew C. Szakmary

Finance Faculty Publications

By breaking the mathematical derivation of Macaulay Duration, Modified Duration, and Bond Convexity into smaller easily calculated component parts, a more manageable means of calculation for these bond measures emerges for the student. Further, an Excel spreadsheet or an algorithm within a programming language can also be implemented using these smaller component calculations. The Excel template provided can be made into an assignment or used as a resource for the student.

Black-Scholes Option Pricing And Greeks Using Excel’S “Lambda” Function, Tom Arnold, Joseph Farizo, Jonathan M. Godbey

Finance Faculty Publications

The =LAMBDA function within Excel provides a powerful new tool for investors and analysts. In this treatment, we show how to create a function that calculates an option’s intrinsic value, price, and delta based on the Black-Scholes model. Other option Greek functions and calculations are available in a downloadable file. The LAMBDA function is not limited to the Black-Scholes model and has important advantages over Excel’s previous solution of creating user-defined functions in VBA.