Manuals/calci/DURATION

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)

DURATION() calculates the rate of change of price with respect to yields. It is the weighted average time 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.
• 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

=DURATION(A1,A2,A3,A4,A5,A6) displays 5.045790027952841 as a result.

See Also

• MDURATION

References

• Macaulay Duration
• Day Count Basis