Formulas and Functions

Chapter 6 Financial Functions 105
actual/365 (3): Actual days in each month, 365 days in a year.
30E/360 (4): 30 days in a month, 360 days in a year, using the European method for
dates falling on the 31st of a month (European 30/360).
Usage Notes
This function returns a value known as the modied Macauley duration. Â
Example
Assume you are considering the purchase of a hypothetical security. The purchase will settle April 2,
2010 and the maturity will mature on December 31, 2015. The coupon rate is 5%, resulting in a yield
of approximately 5.284% (the yield was calculated using the YIELD function). The bond pays interest
quarterly, based on actual days.
=BONDMDURATION(“4/2/2010”, “12/31/2015”, 0.05, 0.05284, 4, 1) returns approximately 4.9554, the
present value of the future cash ows (the bond duration), based on the modied Macauley duration.
The cash ows consist of the price paid, interest received, and principal received at maturity.
Related Topics
For related functions and additional information, see:
“BONDDURATION” on page 103
“Common Arguments Used in Financial Functions” on page 341
“Listing of Financial Functions” on page 96
“Value Types” on page 36
“The Elements of Formulas” on page 15
“Using the Keyboard and Mouse to Create and Edit Formulas” on page 26
“Pasting from Examples in Help” on page 41
COUPDAYBS
The COUPDAYBS function returns the number of days between the beginning of the
coupon period in which settlement occurs and the settlement date.
COUPDAYBS(settle, maturity, frequency, days-basis)
 settle: The trade settlement date. settle is a date/time value. The trade settlement
date is usually one or more days after the trade date.
 maturity: The date when the security matures. maturity is a date/time value. It must
be after settle.
 frequency: The number of coupon payments each year.
annual (1): One payment per year.