WorksheetFunction.MDuration Method
Definition
Important
Some information relates to prerelease product that may be substantially modified before it’s released. Microsoft makes no warranties, express or implied, with respect to the information provided here.
Returns the modified Macauley duration for a security with an assumed par value of $100.
public double MDuration (object Arg1, object Arg2, object Arg3, object Arg4, object Arg5, object Arg6);Public Function MDuration (Arg1 As Object, Arg2 As Object, Arg3 As Object, Arg4 As Object, Arg5 As Object, Optional Arg6 As Object) As DoubleParameters
- Arg1
- Object
Settlement - the security's settlement date. The security settlement date is the date after the issue date when the security is traded to the buyer.
- Arg2
- Object
Maturity - the security's maturity date. The maturity date is the date when the security expires.
- Arg3
- Object
Coupon - the security's annual coupon rate.
- Arg4
- Object
Yld - the security's annual yield.
- Arg5
- Object
Frequency - the number of coupon payments per year. For annual payments, frequency = 1; for semiannual, frequency = 2; for quarterly, frequency = 4.
- Arg6
- Object
Basis - the type of day count basis to use.
Returns
Remarks
Important: 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. Microsoft Excel for the Macintosh uses a different date system as its default.
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:
Figure 1: Equation for modified duration