Returns the modified Macauley duration for a security with an assumed par value of $100.
Składnia
MDURATION(settlement, maturity, coupon, yld, frequency, [basis])Argumenty
settlementwymagane
The security's settlement date.
maturitywymagane
The security's maturity date.
couponwymagane
The security's annual coupon rate.
yldwymagane
The security's annual yield.
frequencywymagane
The number of coupon payments per year.
basisopcjonalne
The type of day count basis to use.
The MDURATION function calculates the sensitivity of a bond's price to changes in interest rates. It is a modified version of the Macauley duration, providing a measure of how much the price of a security will change for a given change in yield.
=MDURATION("2023-01-01", "2033-01-01", 0.05, 0.04, 2)→8.24Calculates the modified duration for a 10-year bond with a 5% coupon and 4% yield, paid semi-annually.
Enter security details
Ensure your settlement and maturity dates are entered in a format Excel recognizes.
Apply the function
Input the coupon rate and yield as decimals (e.g., 0.05 for 5%).
DURATION calculates the Macauley duration, while MDURATION calculates the modified duration, which adjusts the Macauley duration for yield.