Example: Modified Macauley Duration of a Security with Periodic Payments

import com.imsl.finance.*;
import java.text.*;
import java.util.*;

public class mdurationEx1 {

    static final DateFormat dateFormat
            = DateFormat.getDateInstance(DateFormat.SHORT, Locale.US);

    static private GregorianCalendar parse(String s) throws ParseException {
        GregorianCalendar cal = new GregorianCalendar();
        cal.setTime(dateFormat.parse(s));
        return cal;
    }

    public static void main(String args[]) throws ParseException {
        GregorianCalendar settlement = parse("7/1/85");
        GregorianCalendar maturity = parse("7/1/95");
        double coupon = .075;
        double yield = .09;
        int freq = Bond.SEMIANNUAL;
        DayCountBasis dcb = DayCountBasis.BasisActual365;
        double mduration = Bond.mduration(settlement, maturity,
                coupon, yield, freq, dcb);
        System.out.println("The modified Macauley duration of the bond"
                + "\nwith semiannual interest payments is " + mduration);
    }
}

Output

The modified Macauley duration of the bond
with semiannual interest payments is 6.738711366480527