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#Financial

MDURATION

Excel Functions

Get Macauley modified duration par value of $100

Syntax

EXCEL 
=MDURATION(settlement, maturity, coupon, yld, freq, [basis])

Arguments

Parameter Description
settlement Settlement date of the security.
maturity Maturity date of the security.
coupon The security's annual coupon rate.
yld The security's annual yield.
freq Number of coupon payments per year (annual = 1, semi-annual = 2, quarterly = 4).
basis [optional] Day count basis (see below, default =0).

Return Value

Modified duration in years

Details

In finance, duration is a measure of the price sensitivity to changes in interest rates for an asset that pays interest on a periodic basis, like a bond. Duration can be used by financial managers as part of a strategy to minimize the impact of interest rates changes on net worth. Modified duration is a measure of the expected change in a bond's price to a 1% change in interest rates. Excel's MDURATION function returns the modified Macauley duration for an assumed par value of $100. The Macaulay duration is the weighted average term to maturity of the cash flows from a security, which can be calculated with Excel's DURATION function. In the example shown, we want to calculate the modified duration of a bond with an annual coupon rate of 5% and semi-annual payments. The settlement date is 1

Examples

Example

In the example shown, we want to calculate the modified duration of a bond with an annual coupon rate of 5% and semi-annual payments. The settlement d

EXCEL 
=DURATION(C7,C8,C5,C6,C9,C10)
Entering dates

In Excel, dates are serial numbers. Generally, the best way to enter valid dates is to use cell references, as shown in the example. To enter valid da

EXCEL 
=MDURATION(DATE(2017,12,15),DATE(2027,9,15),0.05,0.05,2,0)

See Also

DURATION