MDURATION

MDURATION

Synopsis

MDURATION(settlement,maturity,coupon,yield,frequency[,basis])

Description

MDURATION returns the Macauley duration for a security with par value 100.

basis is the type of day counting system you want to use:

0 MSRB 30/360 (MSRB Rule G33 (e))

1 actual days/actual days

2 actual days/360

3 actual days/365

4 European 30/360

5 European+ 30/360

  • If settlement or maturity are not valid dates, MDURATION returns #NUM! error.
  • If frequency is other than 1, 2, or 4, MDURATION returns #NUM! error.
  • If basis is omitted, MSRB 30/360 is applied.
  • If basis is invalid, #NUM! error is returned.

Examples

See also

DURATION, G_DURATION.