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MDURATION(S, M, R, Y, F, [B])
This function returns the modified Macauley duration of a security assuming $100 face value.
Parameters
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
Example
MDURATION(DATE(90, 1, 1), DATE(95, 1, 1), 10%, 8%, 2, 0) = 3.9379