MDURATION ( settlement , maturity , coupon , yld , frequency [ , [ basis ] ] )
Description: Computes the modified Macauley duration for a security with an assumed par value of $100.
Mathematical Formula:
Arguments:
|
Name |
Type |
Description | ||||||||||||
|
settlement |
number |
The security's settlement date. | ||||||||||||
|
maturity |
number |
The security's maturity date. | ||||||||||||
|
coupon |
number |
The security's annual coupon rate. | ||||||||||||
|
yld |
number |
The security's annual yield. | ||||||||||||
|
frequency |
number |
the number of coupon payments per year. (For annual payments, frequency is 1; for semiannual payments, frequency is 2; for quarterly payments, frequency is 4.) frequency is truncated to an integer. | ||||||||||||
|
basis |
number |
The truncated integer type of day count basis to use, as follows:
|
Time information in the date arguments is ignored.
Return Type and Value: number – The modified Macauley duration for a security with an assumed par value of $100.
However, if
• settlement or maturity is out of range for the current date base value, #NUM! is returned.
• settlement ≥ maturity, #NUM! is returned.
• coupon or yld < 0, #NUM! is returned.
• frequency is any number other than 1, 2, or 4, #NUM! is returned.
• basis < 0 or basis > 4, #NUM! is returned.
[Example:
MDURATION(DATE(2008,1,1),DATE(2016,1,1),0.08,0.09,2,1) results in 5.7357
end example]