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Financial function
MDURATION
Returns the modified duration of a security with an assumed par value of 100.
Rarely usedDifficulty 1550 · AdvancedUsage rank #450 of 520
When to use it
Modified duration: the percentage price change for a one-point change in yield.
The shape of it
- Syntax
=MDURATION(settlement, maturity, coupon, yld, frequency, [basis])
Worked examples
Coupon bond
=MDURATION(DATE(2008,1,1),DATE(2016,1,1),0.08,0.09,2,1) → 5.74
Price moves about 5.74% per 1% of yield.
Ten-year at par
=MDURATION(DATE(2025,1,1),DATE(2035,1,1),0.05,0.05,1) → 7.72
The ten-year at par.
Price change estimate
=-MDURATION(DATE(2025,1,1),DATE(2035,1,1),0.05,0.05,1)*0.01 → -7.72%
Approximate price change if yields rise 1%.
Worth knowing
- Price change ≈ -MDURATION × change in yield.
- DURATION / (1 + yield/frequency).
- Convexity corrects the estimate for large moves.
Where it goes wrong
- #NUM! for invalid dates or negative inputs.
- Only accurate for small yield changes.
Related
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