|Excel Developer Reference|
expression.MDuration(Arg1, Arg2, Arg3, Arg4, Arg5, Arg6)
expression A variable that represents a WorksheetFunction object.
|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|
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.
|Basis||Day count basis|
|0 or omitted||US (NASD) 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.
- 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: