MDURATION function
Summary
Returns the Macauley modified duration for a security with an assumed par value of $100
Syntax
MDURATION(settlement, maturity, coupon, yld, frequency, [basis])
Important: Dates should be entered by using the DATE function, or as results of other formulas or functions. For example, use DATE(2008,5,23) for the 23rd day of May, 2008. Problems can occur if dates are entered as text.
The MDURATION function syntax has the following arguments:
• Settlement Required. The security's settlement date. The security settlement date is the date after the issue date when the security is traded to the buyer.
• Maturity Required. The security's maturity date. The maturity date is the date when the security expires.
• Coupon Required. The security's annual coupon rate.
• Yld Required. The security's annual yield.
• Frequency Required. The number of coupon payments per year. For annual payments, frequency = 1; for semiannual, frequency = 2; for quarterly, frequency = 4.
• Basis Optional. The type of day count basis to use.
Basis | Day count basis
0 or omitted | US (NASD) 30/360
1 | Actual/actual
2 | Actual/360
3 | Actual/365
4 | European 30/360
The MDURATION function syntax has the following arguments:
• Settlement Required. The security's settlement date. The security settlement date is the date after the issue date when the security is traded to the buyer.
• Maturity Required. The security's maturity date. The maturity date is the date when the security expires.
• Coupon Required. The security's annual coupon rate.
• Yld Required. The security's annual yield.
• Frequency Required. The number of coupon payments per year. For annual payments, frequency = 1; for semiannual, frequency = 2; for quarterly, frequency = 4.
• Basis Optional. The type of day count basis to use.
Basis | Day count basis
0 or omitted | US (NASD) 30/360
1 | Actual/actual
2 | Actual/360
3 | Actual/365
4 | European 30/360
Example
=MDURATION(A2,A3,A4,A5,A6,A7)