Financial - MDURATION Function

Description

The MDURATION function returns the modified Macauley duration for a security with an assumed par value of $100.

Syntax

MDURATION (settlement, maturity, coupon, yld, frequency, [basis])

Arguments

Argument	Description	Required/ Optional
Settlement	The security's settlement date. The security settlement date is the date after the issue date when the security is traded to the buyer.	Required
Maturity	The security's maturity date. The maturity date is the date when the security expires.	Required
Coupon	The security's annual coupon rate.	Required
Yld	The security's annual yield.	Required
Frequency	The number of coupon payments per year. for annual payments, frequency = 1 for semiannual, frequency = 2 for quarterly, frequency = 4	Required
Basis	The type of day count basis to use. Look at Day Count Basis Table given below.	Optional

Day Count Basis Table

Basis	Day Count Basis
0 or omitted	US (NASD) 30/360
1	Actual/actual
2	Actual/360
3	Actual/365
4	European 30/360

Notes

Modified duration is defined as follows −

$$MDURATION = \frac{DURATION}{1+\left ( \frac{Market\:yield}{Coupon \: payments \: per \: year} \right )}$$
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 23^rd day of May, 2008. Problems can occur if dates are entered as text.
Microsoft Excel stores dates as sequential serial numbers so they can be used in calculations. By default, January 1, 1900 is serial number 1, and January 1, 2008 is serial number 39448 because it is 39,448 days after January 1, 1900.
The settlement date is the date a buyer purchases a coupon, such as a bond.
The maturity date is the date when a coupon expires.
For example, suppose a 30-year bond is issued on January 1, 2008, and is purchased by a buyer six months later, then −
- the issue date would be January 1, 2008.
- the settlement date would be July 1, 2008.
- the maturity date is January 1, 2038, which is 30 years after the January 1, 2008, issue date.
Settlement, maturity, frequency, and basis are truncated to integers.
If settlement or maturity is not a valid Excel date, MDURATION returns the #VALUE! error value.
If any of the specified arguments is non-numeric, MDURATION returns the #VALUE! error value.
If yld < 0 or if coupon < 0, MDURATION returns the #NUM! error value.
If frequency is any number other than 1, 2, or 4, MDURATION returns the #NUM! error value.
If basis < 0 or if basis > 4, MDURATION returns the #NUM! error value.
If settlement ≥ maturity, MDURATION returns the #NUM! error value.

Applicability

Excel 2007, Excel 2010, Excel 2013, Excel 2016

Example

advanced_excel_financial_functions.htm