MDURATION function
Returns the Macauley modified duration for a security with an assumed par value of $100
Syntax
MDURATION(settlement, maturity, coupon, yld, frequency, [basis])Square brackets indicate optional arguments.
Arguments
| Argument | Required | Meaning |
|---|---|---|
| settlement | Yes | The security's settlement date."2018-7-1" |
| maturity | Yes | The security's maturity date."2048-1-1" |
| coupon | Yes | The security's annual coupon rate.8% |
| yld | Yes | The security's annual yield.9% |
| frequency | Yes | The number of coupon payments per year.2 |
| basis | No | The type of day count basis to use.1 |
Try MDURATION
Convert Macaulay duration to modified duration
=MDURATION(A2,B2,C2,D2,2,0)For this semiannual bond, divide Macaulay duration by 1+annual yield/2, which is 1.02. Modified duration is a local price-sensitivity measure; it is not a forecast and does not model large yield moves exactly.
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MDURATION · top-level call
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Univer 1.0.4 / Apache-2.0. Calculation checks cover the supplied examples only. The browser worksheet does not implement every Excel feature, external service or connected data type.