This function calculates the modified Macauley duration of a security with an assumed par value of $100.

Syntax

MDURATION(settlement,maturity,coupon,yield,frequency,basis)

Arguments

This function has these arguments:

Argument |
Description |

settlement |
Settlement date for the security |

maturity |
Maturity date for the security |

coupon |
Annual coupon rate |

yield |
Annual yield for the security |

frequency |
Frequency of payment, number of coupon payments per year; must be 1, 2, or 4 |

basis |
[Optional] Integer representing the basis for day count (Refer to Day Count Basis.) |

Remarks

This function returns a #VALUE! error when settlement or maturity is invalid or a #NUM! error when frequency is a number other than 1, 2, or 4. If coupon is less than 0 or yield is less than 0, a #NUM! error is returned. If basis is less than 0 or greater than 4, a #NUM! error is returned. If settlement is greater than or equal to maturity, a #NUM! error is returned.

Data Types

Accepts numeric and DateTime object data. Returns numeric data.

Examples

MDURATION(A1,B2,C3,D4,E5,F6)

See Also