Use the MDURATION function to calculate the modified Macauley duration for an assumed parity value of 100 monetary units.
The modified Macauley duration expresses the measurable change in the value of a bond in response to a change in interest rates.
The result represents the effect that a 1% change in interest rates will have on the price of a bond.
The modified Macauley duration is calculated with the following formula:
- y is yield, and
- f is frequency.
MDURATION(settlement, maturity, rate, yield, frequency[, basis])
The MDURATION function has the following arguments:
|settlement (required)||Date||The bond settlement date — the date the bond is traded to the buyer.|
|maturity (required)||Date||The bond maturity date — the date when the bond expires.|
|rate (required)||Number||The bond annual coupon date.|
|yield (required)||Number||The bond annual yield.|
The number of coupon payments per year.
The basis determines how many days exist in a year.
A full year has:
US 30/360 is the default basis for DURATION. It can also be specified by entering 0.
To use a different type of day count basis, enter:
Learn about the conventions used to calculate the day count for basis.
The MDURATION function has the following constraints:
- the settlement and maturity dates must be valid dates between 01/01/1900 and 12/31/2399;
- the maturity date must be later than the settlement date;
- the rate and yield must be positive or zero;
- the frequency must be either 1 (annual), 2 (semi-annual), or 4 (quarterly); and
- the basis, when specified, must be either 0 (US 30/360), 1 (Actual/Actual), 2 (Actual/360), 3 (Actual/365), or 4 (EUR 30/360).
The following tables show some example formulas using the MDURATION function.
You can reference line items or list properties in your formula.
|MDURATION(DATE(2015, 1, 15), DATE(2018, 1, 15), 0.12, 0.1, 1, 4)||
This example shows a modified Macauley duration calculation that specifies a basis.
The basis is given as 4 (European 30/360).
The example has:
|DURATION(DATE(2015, 1, 15), DATE(2018, 1, 15), 0.12, 0.1, 4)||
In this example, the Macauley duration is calculated without specifying a basis. As a result, the basis defaults to US 30/360.