Microsoft® Excel® 2010 Formulas & Functions Inside Out
by Helmut Reinke Egbert Jeschke Sara Unverhau, Eckehard Pfeifer, Bodo Fienitz, and Jens Bock
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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