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MDURATION

The MDURATION function in Google Sheets calculates the modified Macaulay duration of a security paying periodic interest, such as a US Treasury Bond, based on expected yield.

Function Syntax and Parameters

Syntax: MDURATION(settlement, maturity, rate, yield, frequency, [day_count_convention])

Parameters:

  • settlement: The security's settlement date.
  • maturity: The security's maturity date.
  • rate: The security's annual coupon rate.
  • yield: The security's annual yield.
  • frequency: The number of coupon payments per year.
  • [day_count_convention]: [Optional] The day count convention to use.

Step-by-Step Tutorial

  1. Using MDURATION with example values:
    • Example: =MDURATION("1/1/2022", "12/31/2022", 0.05, 0.06, 2, 1)
    • Result: 0.93588

Use Cases and Scenarios

  1. Bond Analysis: Determine the modified Macaulay duration of a bond.
  2. Portfolio Management: Evaluate the duration of different securities in a portfolio.
  3. Interest Rate Risk Assessment: Assess the impact of changes in yield on the value of a security.

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