Difference between revisions of "Manuals/calci/DURATION"
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| − | =DURATION( | + | =DURATION(SettlementDate, MaturityDate, Coupon, Yield, Frequency, Basis)= |
| − | *Where | + | *Where <math>SettlementDate</math> is the security's settlement date (a date when coupon or a bond is purchased), |
| − | * | + | *<math>MaturityDate</math> is the security's maturity date (a date when coupon or a bond expires), |
| − | * | + | *<math>Coupon</math> is the security's annual coupon rate, |
| − | * | + | *<math>Yield</math> is the security's annual yield, |
| − | * | + | *<math>Frequency</math> is the number of coupon payments per year, and |
| − | * | + | *<math>Basis</math> is the type of day count basis to use. |
DURATION() gives the Macauley duration of a security for an assumed par value of $100. | DURATION() gives the Macauley duration of a security for an assumed par value of $100. | ||
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== Description == | == Description == | ||
| − | DURATION( | + | DURATION(SettlementDate, MaturityDate, Coupon, Yield, Frequency, Basis) |
DURATION() calculates the rate of change of price with respect to yields. It is the weighted average time until cash flows are received. | DURATION() calculates the rate of change of price with respect to yields. It is the weighted average time until cash flows are received. | ||
| − | * | + | *<math>SettlementDate</math> and <math>MaturityDate</math> dates should be entered either in 'date format' or 'dates returned using formulas'. If dates are not valid, Calci displays #N/A error message. |
| − | *If | + | *If <math>SettlementDate</math> date ≥ <math>MaturityDate</math> date, Calci displays #N/A error message. |
| − | * | + | *<math>Coupon</math> and <math>Yield</math> values must be greater than or equal to zero. |
| − | *The values for | + | *The values for <math>Frequency</math> should be 1,2 or 4. |
For Annual payment, frequency = 1, | For Annual payment, frequency = 1, | ||
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For Quarterly payment, frequency = 4. | For Quarterly payment, frequency = 4. | ||
| − | * | + | *<math>Basis</math> value is optional. If omitted, Calci assumes it to be 0. |
| − | Below table shows the use of | + | Below table shows the use of <math>Basis</math> values: |
{| class="wikitable" | {| class="wikitable" | ||
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|} | |} | ||
| − | *If | + | *If <math>Basis</math> value is other than 0 to 4, Calci displays #N/A error message. |
== Examples == | == Examples == | ||
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|} | |} | ||
| − | =DURATION(A1,A2,A3,A4,A5,A6) ''displays 5.045790027952841'' as a result. | + | =DURATION(A1,A2,A3,A4,A5,A6) ''displays 5.045790027952841'' as a result. |
| + | =DURATION(DATE(2013,6,1),DATE(2013,12,31),"6%","8%",1,1) ''displays 1.9423897589712318'' as a result. | ||
== See Also == | == See Also == | ||
Revision as of 17:13, 18 January 2014
DURATION(SettlementDate, MaturityDate, Coupon, Yield, Frequency, Basis)
- Where Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle SettlementDate} is the security's settlement date (a date when coupon or a bond is purchased),
- Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle MaturityDate} is the security's maturity date (a date when coupon or a bond expires),
- Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Coupon} is the security's annual coupon rate,
- is the security's annual yield,
- Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Frequency} is the number of coupon payments per year, and
- Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Basis} is the type of day count basis to use.
is the security's annual yield,DURATION() gives the Macauley duration of a security for an assumed par value of $100.
Description
DURATION(SettlementDate, MaturityDate, Coupon, Yield, Frequency, Basis)
DURATION() calculates the rate of change of price with respect to yields. It is the weighted average time until cash flows are received.
- Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle SettlementDate} and Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle MaturityDate} dates should be entered either in 'date format' or 'dates returned using formulas'. If dates are not valid, Calci displays #N/A error message.
- If Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle SettlementDate} date ≥ Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle MaturityDate} date, Calci displays #N/A error message.
- Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Coupon} and Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Yield} values must be greater than or equal to zero.
- The values for Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Frequency} should be 1,2 or 4.
For Annual payment, frequency = 1,
For Semi-annual payment, frequency = 2,
For Quarterly payment, frequency = 4.
- Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Basis} value is optional. If omitted, Calci assumes it to be 0.
Below table shows the use of Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Basis} values:
| Basis | Description |
|---|---|
| 0 | US (NASD) 30/360 |
| 1 | Actual/actual |
| 2 | Actual/360 |
| 3 | Actual/365 |
| 4 | European 30/365 |
- If Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle Basis} value is other than 0 to 4, Calci displays #N/A error message.
Examples
Consider the following example that shows the use of DURATION function:
| September 10, 2010 | ||
| September 10, 2016 | ||
| 6% | ||
| 9.0% | ||
| 2 | ||
| 1 |
=DURATION(A1,A2,A3,A4,A5,A6) displays 5.045790027952841 as a result. =DURATION(DATE(2013,6,1),DATE(2013,12,31),"6%","8%",1,1) displays 1.9423897589712318 as a result.