Description
MDuration returns a number representing the modified duration of a bond.
Overloads
MDuration (settlementDate, maturityDate, couponRate, yield, frequency)
MDuration (settlementDate, maturityDate, couponRate, yield, frequency, basis)
Arguments
settlementDate is a
Date or
DateTime specifying when the security was purchased.
maturityDate is a
Date or
DateTime after the settlement date specifying when the security matures.
couponRate is a non-negative number specifying the interest rate for the security.
yield is a non-negative number specifying the security's yield.
frequency is a number specifying the number of coupons per year. The supported values are 1 (annual payments), 2 (semiannual payments), and 4 (quarterly).
basis is an optional number specifying the day basis system to use. The following types are supported:
0 - American 30/360 (default)
Action
MDuration returns a number representing the modified duration of a bond. Duration is the weighted average of the coupon payment cash flows and is a measure of the bond's interest rate risk and MDuration divides the duration by (1 + yield/frequency).
Examples
Suppose a ten-year bond with a coupon rate of 12%, a yield of 13% and semiannual payments is purchased on January 25, 2000 and has a maturity date of October 1, 2003. The default basis of 30/360 will be used.
MDuration(DateValue(2000,1,25),DateValue(2003,10,1),0.12,0.13,2)
Returns 2.781144 as the bond's modified duration.
Comments
This function is similar to the Excel function of the same name.