MDURATION

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

If this function is not available, run the Setup program to install the Analysis ToolPak. After you install the Analysis ToolPak, you must enable it by using the Add-Ins command on the Tools menu.

Syntax

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

Settlement   is the security's settlement date. The security settlement date is the date after the issue date when the security is traded to the buyer.

Maturity   is the security's maturity date. The maturity date is the date when the security expires.

Coupon   is the security's annual coupon rate.

Yld   is the security's annual yield.

Frequency   is the number of coupon payments per year. For annual payments, frequency = 1; for semiannual, frequency = 2; for quarterly, frequency = 4.

Basis   is the type of day count basis to use.

Remarks

• The settlement date is the date a buyer purchases a coupon, such as a bond. The maturity date is the date when a coupon expires. For example, suppose a 30-year bond is issued on January 1, 1996, and is purchased by a buyer six months later. The issue date would be January 1, 1996, the settlement date would be July 1, 1996, and the maturity date is January 1, 2026, which is 30 years after the January 1, 1996, issue date.
• Settlement, maturity, frequency, and basis are truncated to integers.
• If any argument is nonnumeric, MDURATION returns the #VALUE! error value.
• If settlement or maturity is not a valid date, MDURATION returns the #NUM! error value.
• If yld < 0 or if coupon < 0, MDURATION returns the #NUM! error value.
• If frequency is any number other than 1, 2, or 4, MDURATION returns the #NUM! error value.
• If basis < 0 or if basis > 4, MDURATION returns the #NUM! error value.
• If settlement ³ maturity, MDURATION returns the #NUM! error value.
• Modified duration is defined as follows:

  

Example

A bond has the following terms:

January 1, 1986, settlement date
January 1, 1994, maturity date
8.0 percent coupon
9.0 percent yield
Frequency is semiannual
Actual/actual basis

The modified duration (in the 1900 date system) is:

MDURATION("1/1/86","1/1/94",0.08,0.09,2,1) equals 5.73567