Manuals/calci/MDURATION

MDURATION(SettlementDate, MaturityDate, Coupon, Yield, Frequency, Basis)

• Where $SettlementDate$ is the security's settlement date (a date when coupon or a bond is purchased),
• $MaturityDate$ is the security's maturity date (a date when coupon or a bond expires),
• $Coupon$ is the security's annual coupon rate,
• $Yield$ is the security's annual yield,
• $Frequency$ is the number of coupon payments per year, and
• $Basis$ 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-

$MDURATION={\frac {DURATION}{1+{\frac {Yield}{Frequency}}}}$

• $SettlementDate$ and $MaturityDate$ 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 $SettlementDate$ date ≥ $MaturityDate$ date, Calci displays #N/A error message.
• $Coupon$ and $Yield$ values must be greater than or equal to zero.
• The values for $Frequency$ should be 1,2 or 4.

For Annual payment, frequency = 1,

For Semi-annual payment, frequency = 2,

For Quarterly payment, frequency = 4.

• $Basis$ value is optional. If omitted, Calci assumes it to be 0.

Below table shows the use of $Basis$ values:

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

• If $Basis$ 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 3.8035273385670787 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

• DURATION

References

• Macaulay Duration
• Modified Duration
• Day Count Basis

• List of Main Z Functions

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