Manuals/calci/MDURATION

Revision as of 11:35, 10 May 2015 by Swapna (talk | contribs)

MDURATION(SettlementDate, MaturityDate, 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() gives the modified Macauley duration of a security for an assumed par value of $100.

Description

MDURATION(SettlementDate, MaturityDate, 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 3.8035273385670787 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

References