Difference between revisions of "Manuals/calci/DURATION"
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| − | =DURATION( | + | <div style="font-size:30px">'''DURATION (Settlement,Maturity,Coupon,Yield,Frequency,Basis)'''</div><br/> |
| − | + | *Where <math>Settlement</math> is the security's settlement date (a date when coupon or a bond is purchased), | |
| − | *Where <math> | + | *<math>Maturity</math> is the security's maturity date (a date when coupon or a bond expires), |
| − | *<math> | ||
*<math>Coupon</math> is the security's annual coupon rate, | *<math>Coupon</math> is the security's annual coupon rate, | ||
*<math>Yield</math> is the security's annual yield, | *<math>Yield</math> is the security's annual yield, | ||
| Line 8: | Line 7: | ||
*<math>Basis</math> is the type of day count basis to use. | *<math>Basis</math> is the type of day count basis to use. | ||
| − | DURATION() | + | DURATION(), returns the annual duration of a security with periodic interest payments. |
== Description == | == Description == | ||
| − | DURATION( | + | DURATION(Settlement, Maturity, 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> | + | *<math>Settlement</math> and <math>Maturity</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 <math> | + | *If <math>Settlement</math> date ≥ <math>Maturity</math> date, Calci displays #N/A error message. |
*<math>Coupon</math> and <math>Yield</math> values must be greater than or equal to zero. | *<math>Coupon</math> and <math>Yield</math> values must be greater than or equal to zero. | ||
*The values for <math>Frequency</math> should be 1,2 or 4. | *The values for <math>Frequency</math> should be 1,2 or 4. | ||
Revision as of 15:52, 29 June 2018
DURATION (Settlement,Maturity,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 Settlement} 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 Maturity} 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,
- 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} 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.
DURATION(), returns the annual duration of a security with periodic interest payments.
Description
DURATION(Settlement, Maturity, 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 Settlement} 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 Maturity} 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 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 Maturity} 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.
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 Maturity}
date, Calci displays #N/A error message.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:
| A | B | C | |
| 1 | September 10, 2010 | ||
| 2 | September 10, 2016 | ||
| 3 | 6% | ||
| 4 | 9.0% | ||
| 5 | 2 | ||
| 6 | 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 as a result.
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See Also
References