MDURATION function

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Calculates the modified duration of a security.

This function is only available if the Analysis AddIn is installed.


MDURATION(settlementdate; maturitydate; rate; yield; frequency; basis)

settlementdate: the settlement (purchase) date of the bond.
maturitydate: the maturity (redemption) date of the bond.
rate: the (annual) interest rate of the bond.
yield: the (annual) yield of the bond.
frequency: the number of interest payments per year (1, 2 or 4).
basis: is the calendar system to use. Defaults to 0 if omitted.
0 - US method (NASD), 12 months of 30 days each
1 - Actual number of days in months, actual number of days in year
2 - Actual number of days in month, year has 360 days
3 - Actual number of days in month, year has 365 days
4 - European method, 12 months of 30 days each

This function calculates the modified duration as the modified Macaulay duration of a security, which is a measure of price volatility and interest rate sensitivity. It returns:
Macaulay_duration / (1 + yield/frequency)
The Macaulay duration is returned by the DURATION_ADD function. See that description for further details.


MDURATION("2008-2-28"; "2010-8-31"; 5%; 6%; 2; 0)

returns approximately 2.33 years.


  • This function uses YEARFRAC in the calculation. There are known slight inaccuracies (both in Calc and in Excel) in YEARFRAC.

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