Manuals/calci/MDURATION

MDURATION(Settlement, Maturity, Coupon, Yield, Frequency, Basis)

• Where Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Settlement} is the security's settlement date (a date when coupon or a bond is purchased),
• $Maturity$ is the security's maturity date (a date when coupon or a bond expires),
• Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Coupon} is the security's annual coupon rate,
• Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Yield} is the security's annual yield,
• Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Frequency} is the number of coupon payments per year, and
• Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Basis} is the type of day count basis to use.
  • MDURATION(), returns the Macauley modified duration for a security with an assumed par value of $100.

Description

MDURATION(Settlement, Maturity, Coupon, Yield, Frequency, Basis)

• MDURATION() or modified duration calculates the percentage derivative of price with respect to yield.
• Formula-

Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle MDURATION = \frac{DURATION}{1 + \frac{Yield}{Frequency}}}

• Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Settlement} and Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Maturity} dates should be entered either in 'date format' or 'dates returned using formulas'. If dates are not valid, Calci displays #N/A error message.
• If Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Settlement} date ≥ $Maturity$ date, Calci displays #N/A error message.
• Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Coupon} and Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Yield} values must be greater than or equal to zero.
• The values for Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Frequency} should be 1,2 or 4.

For Annual payment, frequency = 1,

For Semi-annual payment, frequency = 2,

For Quarterly payment, frequency = 4.

• Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Basis} value is optional. If omitted, Calci assumes it to be 0.

Below table shows the use of Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Basis} values:

Basis	Description
0	US (NASD) 30/360
1	Actual/actual
2	Actual/360
3	Actual/365
4	European 30/360

• If Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Basis} value is other than 0 to 4, Calci displays #N/A error message.

Examples

Consider the following example that shows the use of MDURATION function:

September 10, 2010
September 10, 2014
6%
9.0%
2
1

=MDURATION(A1,A2,A3,A4,A5,A6) displays 3.4357631246138873 as a result.
=MDURATION(DATE(2013,6,1),DATE(2013,12,31),"8%","9%",1,1) displays 0.9174311926605504 as a result.

Related Videos

Modified Duration

See Also

• DURATION

References

• Macaulay Duration
• Modified Duration
• Day Count Basis

• List of Main Z Functions

• Z3 home