MDURATION()

Syntax. MDURATION(Settlement,Maturity,Coupon,Yield,Frequency,Basis)

Definition. This function calculates the figure known as modified duration for fixed-interest securities.

Arguments

  • Settlement (required) The date when the ownership of the security changes.

  • Maturity (required) The date when the repayment of the loan certified by the security takes place.

  • Coupon (required) The agreed-upon annual interest rate as the price for the borrowed money.

  • Yield (required) The market interest rate on the settlement day, at which during calculation of the duration all future payments are discounted.

  • Frequency (required) Because it is quite common to have fixed-interest securities with several interest dates per year, the required argument Frequency

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