Syntax: @MDURATION(S, M, R, Y, F, [B])
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.
0 or omitted | 30/360 |
1 | Actual/actual |
2 | Actual/360 |
3 | Actual/365 |
@MDURATION returns the modified Macauley duration of a security assuming $100 face value.
Example:
@MDURATION(@DATE(90, 1, 1), @DATE(95, 1, 1), 10%, 8%, 2, 0) = 3.9379