Difference between revisions of "Manuals/calci/DURATION"
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=DURATION(settlement, maturity, coupon, yield, frequency, basis)= | =DURATION(settlement, maturity, coupon, yield, frequency, basis)= | ||
| − | *Where 'settlement' is the security's settlement date (a date when coupon is purchased), | + | *Where 'settlement' is the security's settlement date (a date when coupon or a bond is purchased), |
| − | *'maturity' is the security's maturity date (a date when coupon expires), | + | *'maturity' is the security's maturity date (a date when coupon or a bond expires), |
*'coupon' is the security's annual coupon rate, | *'coupon' is the security's annual coupon rate, | ||
*'yield' is the security's annual yield, | *'yield' is the security's annual yield, | ||
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DURATION(settlement, maturity, coupon, yield, frequency, basis) | DURATION(settlement, maturity, coupon, yield, frequency, basis) | ||
| − | * | + | *If settlement or maturity dates are not valid, Calci displays an error message. |
| − | *' | + | *If settlement date ≥ maturity date, Calci displays an error message. |
| − | *The values for ' | + | *'coupon' and 'yield' values must be greater than or equal to zero. |
| − | * | + | *The values for 'frequency' should be 1,2 or 4. |
| + | For Annual payment, frequency = 1, | ||
| + | For Semi-annual payment, frequency = 2, | ||
| + | For Quarterly payment, frequency = 4. | ||
| + | *'basis' value is optional. If omitted, Calci assumes to be 0. | ||
| + | Below table shows the use of 'basis' values: | ||
| − | + | *If 'basis' value other than 0 to 4, Calci displays an error message. | |
| − | + | == Examples == | |
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Revision as of 07:00, 26 November 2013
DURATION(settlement, maturity, coupon, yield, frequency, basis)
- Where 'settlement' is the security's settlement date (a date when coupon or a bond is purchased),
- 'maturity' is the security's maturity date (a date when coupon or a bond 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.
Description
DURATION(settlement, maturity, coupon, yield, frequency, basis)
- If settlement or maturity dates are not valid, Calci displays an error message.
- If settlement date ≥ maturity date, Calci displays an error message.
- 'coupon' and 'yield' values must be greater than or equal to zero.
- The values for 'frequency' should be 1,2 or 4.
For Annual payment, frequency = 1, For Semi-annual payment, frequency = 2, For Quarterly payment, frequency = 4.
- 'basis' value is optional. If omitted, Calci assumes to be 0.
Below table shows the use of 'basis' values:
- If 'basis' value other than 0 to 4, Calci displays an error message.
Examples
| Column1 | Column2 | Column3 | Column4 | |
| Row1 | September 10, 2010 | |||
| Row2 | September 10, 2016 | |||
| Row3 | 6% | |||
| Row4 | 9.0% | |||
| Row5 | 2 | |||
| Row6 | 1 | 5.0458 |