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 Microsoft Excel > Functions > Financial > MDURATION
 

MDURATION(settlement, maturity, coupon, yld, frequency [,basis])

 
 Returns the modified duration for a security with an assumed par value of $100.

 settlementThe settlement date of the security.
 maturityThe maturity date of the security.
 couponThe annual coupon rate of the security.
 yldThe annual yield of the security.
 frequencyThe number of coupon payments per year.
 basisThe type of day counting to use:
0 = US 30/360
1 = Actual/Actual
2 = Actual/360
3 = Actual/365
4 = European 30/360

 REMARKS
 
  		• This function is only available if you have the Analysis ToolPak add-in installed.
     
  		• The settlement date is the date a buyer purchases a coupon, such as a bond.
     
  		• The maturity date is the date when the security expires.
     
  		• If "settlement" is not a valid date, then #NUM! is returned.
     
  		• If "settlement" = "maturity", then #NUM! is returned.
     
  		• If "maturity" is not a valid date, then #NUM! is returned.
     
  		• If "yld" < 0, then #NUM! is returned.
     
  		• If "coupon" < 0, then #NUM! is returned.
     
  		• If "frequency" is any number other than 1, 2, or 4, then #NUM! is returned.
     
  		• If "basis" < 0, then #NUM! is returned.
     
  		• If "basis" > 4, then #NUM! is returned.
     
  		• If "basis" is left blank, then 0 is used.

     EXAMPLES
     
     A
    1=MDURATION("1/1/1999","1/1/2007",0.08,0.09,2,1) = 5.736
    2=MDURATION("1/1/1999","1/1/2007",0.08,0.09,2,2) = 5.736
    3=MDURATION("1/1/1999","1/1/2007",0.08,0.09,2,3) = 5.736
    4=MDURATION("1/1/1999","1/1/2007",0.12,0.15,2) = 4.780
    5=MDURATION("1/1/1999","1/1/2007",0.08,0.09,2,-1) = #NUM!
    6=MDURATION("1/1/1999","1/1/2007",0.08,0.09,2,5) = #NUM!
    		 
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