Formula Generator - MDURATION function
The MDURATION function calculates the modified Macaulay duration of a security paying periodic interest, such as a US Treasury Bond, based on expected yield. It takes into account the settlement date, maturity date, coupon rate, yield, frequency, and optional day count convention.How to generate an MDURATION formula using AI.
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MDURATION formula syntax.
The MDURATION function in Excel calculates the Macaulay duration of a security with a fixed interest rate. The syntax for the MDURATION function is: MDURATION(settlement, maturity, coupon, yield, frequency, basis) - settlement: The date when the security is purchased. - maturity: The date when the security matures. - coupon: The annual coupon rate of the security. - yield: The annual yield of the security. - frequency: The number of coupon payments per year. - basis: Optional argument that specifies the day count basis to use. The MDURATION function returns the Macaulay duration, which measures the weighted average time it takes to receive the present value of all cash flows from the security.
Bond Duration Calculation
Calculates the modified Macaulay duration of a bond based on its settlement date, maturity date, coupon rate, yield, frequency, and day count convention.
MDURATION(settlement, maturity, rate, yield, frequency, [day_count_convention])
Portfolio Duration Calculation
Calculates the weighted average duration of a portfolio of bonds based on their individual durations and weights.
SUMPRODUCT(duration_range, weight_range)
Bond Price Sensitivity Analysis
Calculates the percentage change in the price of a bond for a given change in yield, based on its duration.