Difference between revisions of "Manuals/calci/DURATION"
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(Created page with "<div id="6SpaceContent" class="zcontent" align="left"> '''<font color="#484848"><font face="Arial, sans-serif"><font size="2">DURATION(settle, M, C, Yield, F, basis)</font></...") |
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| − | + | =DURATION(settlement, maturity, coupon, yield, frequency, basis)= | |
| − | + | *Where 'settlement' is the security's settlement date, | |
| + | *'maturity' is the security's maturity date, | ||
| + | *'coupon' is the security's annual coupon rate, | ||
| + | *'yield' is the security's annual yield, | ||
| + | *'frequency' is the number of coupon payments per year, and | ||
| + | *'basis' is the type of day count basis to use. | ||
| − | + | DURATION() gives the Macauley duration for an assumed par value of $100. | |
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| − | + | == Description == | |
| − | + | DURATION(settlement, maturity, coupon, yield, frequency, basis) | |
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| − | + | *DURATION calculates the error value when settlement or maturity is not a valid or settlement ≥ maturity. | |
| − | + | *'C' and 'Yield' must be grater than or equal to zero. | |
| − | + | *The values for 'F' is 1,2 and 4. | |
| + | *Basis value should between 0 and 4. | ||
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<div id="8SpaceContent" class="zcontent" align="left"> <font color="#000000"><font face="Arial, sans-serif"><font size="2">Lets see an example,</font></font></font> | <div id="8SpaceContent" class="zcontent" align="left"> <font color="#000000"><font face="Arial, sans-serif"><font size="2">Lets see an example,</font></font></font> | ||
Revision as of 07:53, 25 November 2013
DURATION(settlement, maturity, coupon, yield, frequency, basis)
- Where 'settlement' is the security's settlement date,
- 'maturity' is the security's maturity date,
- 'coupon' is the security's annual coupon rate,
- 'yield' is the security's annual yield,
- 'frequency' is the number of coupon payments per year, and
- 'basis' is the type of day count basis to use.
DURATION() gives the Macauley duration for an assumed par value of $100.
Description
DURATION(settlement, maturity, coupon, yield, frequency, basis)
- DURATION calculates the error value when settlement or maturity is not a valid or settlement ≥ maturity.
- 'C' and 'Yield' must be grater than or equal to zero.
- The values for 'F' is 1,2 and 4.
- Basis value should between 0 and 4.
Lets see an example,
DURATION(settle, M, C, Yield, F, basis)
B
September 10, 2010
Septembet 10, 2016
6%
9.0%
2
1
=DURATION(B2,B3,B4,B5,B6,B7) is 5.0458
Syntax
Remarks
Examples
Description
| Column1 | Column2 | Column3 | Column4 | |
| Row1 | September 10, 2010 | |||
| Row2 | September 10, 2016 | |||
| Row3 | 6% | |||
| Row4 | 9.0% | |||
| Row5 | 2 | |||
| Row6 | 1 | 5.0458 |
