Difference between revisions of "Manuals/calci/DURATION"
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| Line 24: | Line 24: | ||
For Quarterly payment, frequency = 4. | For Quarterly payment, frequency = 4. | ||
| − | *'basis' value is optional. If omitted, Calci assumes to be 0. | + | *'basis' value is optional. If omitted, Calci assumes it to be 0. |
Below table shows the use of 'basis' values: | Below table shows the use of 'basis' values: | ||
| Line 31: | Line 31: | ||
! Basis !! Description | ! Basis !! Description | ||
|- | |- | ||
| − | | 0 || | + | | 0 || US(NASD) 30/360 |
|- | |- | ||
| 1 || Actual/actual | | 1 || Actual/actual | ||
| Line 42: | Line 42: | ||
|} | |} | ||
| − | *If 'basis' value other than 0 to 4, Calci displays an error message. | + | *If 'basis' value is other than 0 to 4, Calci displays an error message. |
== Examples == | == Examples == | ||
| + | |||
| + | Consider the following example that shows the use of DURATION function: | ||
<div id="2SpaceContent" class="zcontent" align="left"> | <div id="2SpaceContent" class="zcontent" align="left"> | ||
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{| id="TABLE3" class="SpreadSheet blue" | {| id="TABLE3" class="SpreadSheet blue" | ||
|- class="even" | |- class="even" | ||
| + | | class=" " | September 10, 2010 | ||
| + | | class=" " | | ||
| + | | class=" " | | ||
| class=" " | | | class=" " | | ||
| − | |||
| − | |||
| − | |||
| − | |||
|- class="odd" | |- class="odd" | ||
| − | | class=" | + | | class="sshl_f" | September 10, 2016 |
| − | + | | class=" " | | |
| − | | class=" | ||
| class=" " | | | class=" " | | ||
| class=" " | | | class=" " | | ||
|- class="even" | |- class="even" | ||
| − | | class=" | + | | class=" " | 6% |
| − | |||
| class=" " | | | class=" " | | ||
| class=" " | | | class=" " | | ||
| class=" " | | | class=" " | | ||
|- class="odd" | |- class="odd" | ||
| − | + | | class=" " | 9.0% | |
| − | | class=" | ||
| class=" " | | | class=" " | | ||
| class=" " | | | class=" " | | ||
| class=" " | | | class=" " | | ||
|- class="even" | |- class="even" | ||
| − | + | | class=" " | 2 | |
| − | | class=" " | | ||
| class=" " | | | class=" " | | ||
| class=" " | | | class=" " | | ||
| class=" " | | | class=" " | | ||
|- class="odd" | |- class="odd" | ||
| − | | class=" " | | + | | class=" " | 1 |
| − | | class=" " | | + | | class=" " | 5.0458 |
| class=" " | | | class=" " | | ||
| class=" " | | | class=" " | | ||
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|} | |} | ||
Revision as of 16:06, 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 it to be 0.
Below table shows the use of 'basis' values:
| Basis | Description |
|---|---|
| 0 | US(NASD) 30/360 |
| 1 | Actual/actual |
| 2 | Actual/360 |
| 3 | Actual/365 |
| 4 | European 30/365 |
- If 'basis' value is other than 0 to 4, Calci displays an error message.
Examples
Consider the following example that shows the use of DURATION function:
| September 10, 2010 | |||
| September 10, 2016 | |||
| 6% | |||
| 9.0% | |||
| 2 | |||
| 1 | 5.0458 |