Functions
MDURATION
Modified duration
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When to use it
When should I use MDURATION instead of DURATION?
Use MDURATION (Modified duration) to directly estimate the percentage price change of a bond for a 1% move in yield — it adjusts Macaulay duration by dividing by (1 + yield/frequency).
Used in
Syntax
MDURATION(settlement, maturity, coupon, yld, frequency, [basis])Examples
=MDURATION(DATE(2010,1,2),DATE(2039,12,31),0.03,1.2,2) // => 0.829861111506118
=MDURATION(DATE(2010,1,2),DATE(2039,12,31),0.03,1.2,2,1) // => 0.8298802950543064