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WorksheetFunction.MDuration method (Excel)

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Returns the modified Macauley duration for a security with an assumed par value of $100.

Syntax

expression.MDuration (Arg1, Arg2, Arg3, Arg4, Arg5, Arg6)

expression A variable that represents a WorksheetFunction object.

Parameters

Name Required/Optional Data type Description
Arg1 Required Variant 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 Required Variant Maturity - the security's maturity date. The maturity date is the date when the security expires.
Arg3 Required Variant Coupon - the security's annual coupon rate.
Arg4 Required Variant Yld - the security's annual yield.
Arg5 Required Variant Frequency - the number of coupon payments per year. For annual payments, frequency = 1; for semiannual, frequency = 2; for quarterly, frequency = 4.
Arg6 Optional Variant Basis - the type of day count basis to use

Return value

Double

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.

The following table describes the values that can be used for Arg6.

Basis Day count basis
0 or omitted US (NASD) 30/360
1 Actual/actual
2 Actual/360
3 Actual/365
4 European 30/360

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.

Note

Visual Basic for Applications (VBA) calculates serial dates differently than Excel. In VBA, serial number 1 is December 31, 1899, rather than January 1, 1900.

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   Formula

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