# Manuals/calci/MDURATION

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

- Where is the security's settlement date (a date when coupon or a bond is purchased),
- is the security's maturity date (a date when coupon or a bond expires),
- is the security's annual coupon rate,
- is the security's annual yield,
- is the number of coupon payments per year, and
- 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-

- and 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 date ≥ date, Calci displays #N/A error message.
- and values must be greater than or equal to zero.
- The values for should be 1,2 or 4.

For Annual payment, frequency = 1,

For Semi-annual payment, frequency = 2,

For Quarterly payment, frequency = 4.

- value is optional. If omitted, Calci assumes it to be 0.

Below table shows the use of values:

Basis | Description |
---|---|

0 | US (NASD) 30/360 |

1 | Actual/actual |

2 | Actual/360 |

3 | Actual/365 |

4 | European 30/360 |

- If 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 3.4357631246138873as a result. =MDURATION(DATE(2013,6,1),DATE(2013,12,31),"8%","9%",1,1)displays 0.9174311926605504as a result.

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## See Also

## References