MDURATION

Description Computes the modified duration for a security.

Syntax MDURATION ( settlement, maturity, rate, yield, frequency [, calendar_type] )

Argument Description

settlement The date when the security is traded to the buyer. Dates in the argument list must be in the form of a serial number or text. Numbers will be truncated to integers.

maturity The date the security expires and the remaining amount is paid to the investor. It must be later than settlement. Dates in the argument list must be in the form of a serial number or text. Numbers will be truncated to integers.

rate The security's annual coupon rate. The coupons pay at this rate divided by frequency.

yield The security's annual yield.

frequency The number of interest payments per year. See The frequency Argument for more information.

[calendar_type] Optional. One of five methods of counting days for computing interest. See The calendar_type Argument for more information.

Argument	Description
settlement	The date when the security is traded to the buyer. Dates in the argument list must be in the form of a serial number or text. Numbers will be truncated to integers.
maturity	The date the security expires and the remaining amount is paid to the investor. It must be later than settlement. Dates in the argument list must be in the form of a serial number or text. Numbers will be truncated to integers.
rate	The security's annual coupon rate. The coupons pay at this rate divided by frequency.
yield	The security's annual yield.
frequency	The number of interest payments per year. See The frequency Argument for more information.
[calendar_type]	Optional. One of five methods of counting days for computing interest. See The calendar_type Argument for more information.

Remarks Modified duration is a direct measure of the sensitivity of a bond's price to a change in its yield.

Equation

Examples This function returns 7.2465:

MDURATION("3/17/89","3/17/99",0.07,0.08,2,1)

See Also DURATION