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MDURATION

Syntax: MDURATION(S, M, R, Y, F, [B])

S = Settlement date
M = Maturity date
R = Annual coupon rate
Y = Annual yield
F = Number of coupon payments per year (frequency)
B = (Optional) The day count basis to be used.

0 or omitted 30/360
1 Actual/actual
2 Actual/360
3 Actual/365
0 or omitted 30/360

MDURATION returns the modified Macauley duration of a security assuming $100 face value.

Example:

MDURATION(DATE(90, 1, 1), DATE(95, 1, 1), 10%, 8%, 2, 0) = 3.9379

Excel function: N/A


next up previous contents index
Next: MEDIAN Up: A. Function Reference Previous: MAX   Contents   Index
SpreadScript User's Guide, Version 1.2
Grey Trout Software
02 March 2003