{"id":6659,"date":"2025-07-15T13:34:48","date_gmt":"2025-07-15T13:34:48","guid":{"rendered":"https:\/\/functiontranslator.com\/duree-modifiee\/"},"modified":"2021-02-26T08:10:15","modified_gmt":"2021-02-26T08:10:15","slug":"mduration","status":"publish","type":"post","link":"https:\/\/functiontranslator.com\/fr\/mduration\/","title":{"rendered":"DUREE.MODIFIEE"},"content":{"rendered":"

La fonction DUREE.MODIFIEE dans Microsoft Excel et Google Sheets est con\u00e7ue pour calculer la dur\u00e9e modifi\u00e9e de Macaulay d’une obligation, repr\u00e9sentant ainsi une mesure de la sensibilit\u00e9 du prix de l’obligation aux variations de son taux de rendement. Cette fonction est essentielle en finance pour l’\u00e9valuation du risque li\u00e9 aux taux d’int\u00e9r\u00eat des obligations.<\/p>\n

Syntaxe de la fonction<\/h2>\n

La syntaxe pour utiliser la fonction DUREE.MODIFIEE est la suivante :<\/p>\n

DUREE.MODIFIEE(date_\u00e9mission, date_\u00e9ch\u00e9ance, taux, coupon, fr\u00e9quence, [base])<\/code><\/pre>\n
    \n
  • date_\u00e9mission<\/strong> : La date de l’\u00e9mission de l’obligation.<\/li>\n
  • date_\u00e9ch\u00e9ance<\/strong> : La date \u00e0 laquelle l’obligation arrive \u00e0 \u00e9ch\u00e9ance.<\/li>\n
  • taux<\/strong> : Le taux de rendement annuel de l’obligation.<\/li>\n
  • coupon<\/strong> : Le taux du coupon de l’obligation.<\/li>\n
  • fr\u00e9quence<\/strong> : La fr\u00e9quence annuelle des paiements du coupon.<\/li>\n
  • base<\/strong> (optionnel) : Le syst\u00e8me de d\u00e9compte des jours utilis\u00e9, qui peut varier selon les conventions (la valeur par d\u00e9faut est 0, correspondant \u00e0 la m\u00e9thode US (NASD) 30\/360).<\/li>\n<\/ul>\n
    Exemples d’utilisation<\/h2>\n
    Consid\u00e9rons une obligation avec les caract\u00e9ristiques suivantes :<\/p>\n
      \n
    • Date d’\u00e9mission : 01\/01\/2020<\/li>\n
    • Date d’\u00e9ch\u00e9ance : 01\/01\/2025<\/li>\n
    • Taux de rendement annuel : 5%<\/li>\n
    • Taux du coupon : 6%<\/li>\n
    • Fr\u00e9quence de paiement : annuelle (1)<\/li>\n<\/ul>\n
      Pour calculer la dur\u00e9e modifi\u00e9e, la formule serait :<\/p>\n
      =DUREE.MODIFIEE(\"01\/01\/2020\", \"01\/01\/2025\", 5%, 6%, 1)<\/code><\/pre>\n
      Sc\u00e9narios pratiques<\/h2>\n
      Comparaison de la sensibilit\u00e9 de deux obligations<\/strong><\/p>\n
      Imaginons la comparaison entre deux obligations diff\u00e9rentes afin de d\u00e9terminer laquelle est la plus sensible aux changements de taux d’int\u00e9r\u00eat, \u00e0 partir des donn\u00e9es suivantes :<\/p>\n\n\n\n\n
      Obligation<\/th>\nDate d’\u00e9mission<\/th>\nDate d’\u00e9ch\u00e9ance<\/th>\nTaux de rendement<\/th>\nTaux du coupon<\/th>\nFr\u00e9quence<\/th>\n<\/tr>\n
      A<\/td>\n15\/03\/2020<\/td>\n15\/03\/2030<\/td>\n4.5%<\/td>\n4%<\/td>\nbiannuelle (2)<\/td>\n<\/tr>\n
      B<\/td>\n12\/06\/2020<\/td>\n12\/06\/2025<\/td>\n6%<\/td>\n5.5%<\/td>\nbiannuelle (2)<\/td>\n<\/tr>\n<\/table>\n
      Les formules pour \u00e9valuer la dur\u00e9e modifi\u00e9e de chaque obligation sont :<\/p>\n
      =DUREE.MODIFIEE(\"15\/03\/2020\", \"15\/03\/2030\", 4.5%, 4%, 2) =DUREE.MODIFIEE(\"12\/06\/2020\", \"12\/06\/2025\", 6%, 5.5%, 2)<\/code><\/pre>\n
      Cette comparaison permet de d\u00e9duire quelle obligation est plus sujette aux fluctuations des taux d’int\u00e9r\u00eat.<\/p>\n
      \u00c9valuation du risque de taux d’int\u00e9r\u00eat suite \u00e0 des annonces \u00e9conomiques<\/strong><\/p>\n
      Lorsqu’une annonce \u00e9conomique anticipe une potentiel hausse des taux d’int\u00e9r\u00eat, les gestionnaires de portefeuille peuvent utiliser la fonction DUREE.MODIFIEE pour chaque obligation de leur portefeuille afin d’\u00e9valuer et de g\u00e9rer le risque associ\u00e9 \u00e0 chaque titre.<\/p>\n","protected":false},"excerpt":{"rendered":"
      Renvoie la duR\u00e9e de Macauley modifi\u00e9e pouR un titRe ayant une valeuR nominale hypoth\u00e9tique de 100\u00a0euRos<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[311],"tags":[],"class_list":["post-6659","post","type-post","status-publish","format-standard","hentry","category-finances"],"acf":[],"yoast_head":"\nFonction MDURATION (DUREE.MODIFIEE) dans Excel : comment \u00e7a marche, exemples et syntaxe<\/title>\n<meta name=\"description\" content=\"Pr\u00e9sentation de la fonction MDURATION (DUREE.MODIFIEE) d\u2019Excel et Google Sheets. 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