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Excel MDURATION function

Author: Kelly Last Modified: 2019-05-30

Function syntax and arguments

MDURATION(settlement, maturity, coupon, yld, frequency, [basis])

(1) Settlement: Required. It’s the security’s settlement date that the buyer purchased the security. It’s later than the issue date.

(2) Maturity: Required. It’s the security’ maturity date when the security expires.

(3) Coupon: Required. It’s the annual coupon rate of the security.

(4) Yld: Required. It’s the security’s annual yield.

(5) Frequency: Required. It’s the number of frequencies you can get coupon payments in one year.

  • For annual coupon payments, the number of frequencies is 1;
  • For semi-annual coupon payments, the number of frequencies is 2;
  • For quarterly coupon payments, the number of frequencies is 4;

 (5) Basis: Optional. It’s the type of day count basis to use. There are 5 types:

Values Description
0 or omitted US (NASD) 30/360
1 Actual/actual
2 Actual/360
3 Actual/365
4 European 30/360

Return Value

Numerical value.

The MDURATION function returns the modified Macauley duration for a security with assuming per value of $100.

Usage notes

(1) The settlement, maturity, and basis are truncated to integers. For example, you type 1.4 as the basis value, the MDURATION function will take it as 1 automatically. 

(2) The MDURATION function returns #VALUE! error value, if the settlement or maturity is not a valid date.

(3) The MDURATION function returns #NUM! error value, if the settlement date is no less than the maturity date.

(4) The MDURATION function returns #NUM! error value, if the yld or coupon is less than 0.

(5) The frequency can only be one of these numbers: 1, 2, or 4. Otherwise, the MDURATION function returns #NUM! error value.

(6) The MDURATION function returns #NUM! error value, if the basis is less than 0 or greater than 4.

Formula Examples

Supposing there is a bond with an annual coupon rate of 8% and semi-annual coupon payments. The yield to maturity is 10%, the settlement date is 7/1/2017, the maturity date is 12/31/2018. This bond uses the day count basis of Actual/360.

In this case, you can figure out the Macaulay modified duration with one of below formulas:


=MDURATION(DATE(2017,7,1), DATE(2018,12,31),8%,10%,2,2)

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