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Manuals/calci/DURATION (view source)
Revision as of 22:37, 26 November 2013
, 22:37, 26 November 2013no edit summary
DURATION(settlement, maturity, coupon, yield, frequency, basis)
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 of until cash flows are received.
*Settlement and maturity dates should be entered either in 'date format' or 'dates returned using formulas'. If dates are not valid, Calci displays an error message.
*Settlement and maturity dates should be entered either in 'date format' or 'dates returned using formulas'. If dates are not valid, Calci displays an error message.
== References ==
== References ==
*[http://en.wikipedia.org/wiki/Bond_duration#Macaulay_duration Macaulay Duration]
*[http://en.wikipedia.org/wiki/Day_count_convention Day Count Basis]
*[http://en.wikipedia.org/wiki/Day_count_convention Day Count Basis]