MDURATION(S, M, R, Y, F [, B])

 

Description

This function returns the modified Macauley duration of a security assuming $100 face value.

 

Parameters

 

S

Settlement date.

 

M

Maturity date.

 

R

Annual coupon rate.

 

Y

Annual yield.

 

F

Number of coupon payments per year (frequency).

 

B

(Optional)  The day count basis to be used:

 

 

Examples

 

MDURATION(DATE(90, 1, 1), DATE(95, 1, 1), 10%, 8%, 2, 0) = 3.9379