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Manuals/calci/DURATION (view source)
Revision as of 18:15, 25 November 2013
, 18:15, 25 November 2013no edit summary
=DURATION(settlement, maturity, coupon, yield, frequency, basis)=
=DURATION(settlement, maturity, coupon, yield, frequency, basis)=
*Where 'settlement' is the security's settlement date,
*Where 'settlement' is the security's settlement date (a date when coupon is purchased),
*'maturity' is the security's maturity date,
*'maturity' is the security's maturity date (a date when coupon expires),
*'coupon' is the security's annual coupon rate,
*'coupon' is the security's annual coupon rate,
*'yield' is the security's annual yield,
*'yield' is the security's annual yield,
*'basis' is the type of day count basis to use.
*'basis' is the type of day count basis to use.
DURATION() gives the Macauley duration for an assumed par value of $100.
DURATION() gives the Macauley duration of a security for an assumed par value of $100.
== Description ==
== Description ==