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=MDURATION()
Returns the modified Macauley duration for a security with an assumed par value of $100.
Applies To:
Excel for Microsoft 365Excel for Microsoft 365 for MacExcel 2024Excel 2024 for MacExcel 2021Excel 2021 for MacExcel 2019Excel 2016
=MDURATION(settlement, maturity, coupon, yld, frequency, [basis])
Hover argument names in the table for details.
Output typeNumber
Popularity8 / 100
VolatileNo
Dynamic ArrayNo
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◧ Arguments
| Argument | Type | Required | Description |
|---|---|---|---|
settlement |
Date | Required | 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 |
Date | Required | The security's maturity date. The maturity date is the date when the security expires. |
coupon |
Number | Required | The security's annual coupon rate. |
yld |
Number | Required | The security's annual yield. |
frequency |
Number | Required | The number of coupon payments per year. For annual payments, frequency = 1; for semiannual, frequency = 2; for quarterly, frequency = 4. |
basis |
Date | Optional | The type of day count basis to use. 0 or omitted = US (NASD) 30/360; 1 = Actual/actual; 2 = Actual/360; 3 = Actual/365; 4 = European 30/360. |
▣ Examples
▦ Data
| Cell | Value | Description |
|---|---|---|
A2 |
1/1/2008 | Settlement date |
A3 |
1/1/2016 | Maturity date |
A4 |
8% | Percent coupon |
A5 |
9% | Percent yield |
A6 |
2 | Frequency is semiannual (see above) |
A7 |
1 | Actual/actual basis (see above) |
A8 |
1/1/2008 | Settlement date |
A9 |
1/1/2016 | Maturity date |
A10 |
8% | Percent coupon |
A11 |
9% | Percent yield |
A12 |
2 | Frequency is semiannual (see above) |
A13 |
1 | Actual/actual basis (see above) |
The modified duration, for the bond with the terms specified in A2:A5.
=MDURATION(A2,A3,A4,A5,A6,A7)
Result:
5.736
§ Remarks
- Microsoft Excel stores dates as sequential serial numbers so they can be used in calculations. By default, January 1, 1900 is serial number 1, and January 1, 2008 is serial number 39448 because it is 39,448 days after January 1, 1900.
- 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, 2008, and is purchased by a buyer six months later. The issue date would be January 1, 2008, the settlement date would be July 1, 2008, and the maturity date is January 1, 2038, which is 30 years after the January 1, 2008, issue date.
- Settlement, maturity, frequency, and basis are truncated to integers.
- If settlement or maturity is not a valid date, MDURATION returns the #VALUE! 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 ≥ maturity, MDURATION returns the #NUM! error value.
- Modified duration is defined as follows:
✦ Tips
- Dates should be entered by using the DATE function, or as results of other formulas or functions. For example, use DATE(2008,5,23) for the 23rd day of May, 2008. Problems can occur if dates are entered as text.
- Microsoft Excel stores dates as sequential serial numbers so they can be used in calculations. By default, January 1, 1900 is serial number 1, and January 1, 2008 is serial number 39448 because it is 39,448 days after January 1, 1900.
- 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, 2008, and is purchased by a buyer six months later. The issue date would be January 1, 2008, the settlement date would be July 1, 2008, and the maturity date is January 1, 2038, which is 30 years after the January 1, 2008, issue date.
- Settlement, maturity, frequency, and basis are truncated to integers.
- Modified duration is defined as follows:
⚠ Common Errors
#VALUE!
If settlement or maturity is not a valid date, MDURATION returns the #VALUE! error value.
Fix: تاریخها را با تابع DATE وارد کنید یا بررسی کنید سلولهای تاریخ واقعاً تاریخ باشند.
#NUM!
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 ≥ maturity, MDURATION returns the #NUM! error value.
Fix: Check the order of the dates and the input values
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