Revision as of 12:15, 25 November 2013

DURATION(settlement, maturity, coupon, yield, frequency, basis)

Where 'settlement' is the security's settlement date (a date when coupon is purchased),
'maturity' is the security's maturity date (a date when coupon expires),
'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 of a security for an assumed par value of $100.

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

@@ Line 1: / Line 1: @@
 =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,
 *'yield' is the security's annual yield,
@@ Line 8: / Line 8: @@
 *'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 ==