To work with the tool in Foresight Analytics Platform 10, use the new interface.

MDuration

The function wizard for the MDuration function looks as follows:

Syntax

MDuration(Settlement, Maturity, CouponRate, YieldP, Frequency[, Basis])

Parameters

Settlement. The payment day on securities. This date is later than the issue date (the date, when the securities were sold to the buyer).

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

CouponRate. Annual interest rate for coupons on securities.

YieldP. The annual income on securities.

Frequency. The number of coupon payments per year. Required argument. The parameter may take the following values:

Basis. The day calculation method used. Select a value from 0 to 4:

Optional parameter.

NOTE. To determine the parameter, it is available to specify either the parameter value or the cell address where it is located.

Description

It returns the modified Macaulay duration for securities with assumed $100 face value.

Comments

The Settlement parameter value should not be less than the Maturity parameter value.

The function is calculated with the following formula:

,

where:

Example

Formula Result Description
=MDuration("01.01.2008", "01.01.2016", 0.28, 0.82, 4, 3) 1,4979 Modified Macaulay duration at the following conditions:

  • The security's settlement date is 01.01.2008.

  • The security's maturity date is 01.01.2016.

  • The annual interest rate is 28 %.

  • The annual income is 82 %.

  • The number of payments for coupons in a year is 4 (quarterly payments).

  • The day calculation method is actual/365 days.
=MDuration(A1, A2, 0.08, 0.09, 2, 1) 5,7357 Modified Macaulay duration for a security at the following conditions:

  • The security's settlement date is specified in the A1 cell, value is 01.01.2008.

  • The security's maturity date is specified in the A3 cell, value is 01.01.2016.

  • The annual interest rate is 8 %.

  • The annual income is 9 %.

  • The number of payments for coupons in a year is 2 (semi-annual payments).

  • The day calculation method - American.

See also:

Function Wizard │ Financial Functions │ IFinance.MDuration