Difference between revisions of "Manuals/calci/DURATION"

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=DURATION(settlement, maturity, coupon, yield, frequency, basis)=
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<div style="font-size:30px">'''DURATION (Settlement,Maturity,Coupon,Yield,Frequency,Basis)'''</div><br/>
 +
*Where <math>Settlement</math> is the security's settlement date (a date when coupon or a bond is purchased),  
 +
*<math>Maturity</math> is the security's maturity date (a date when coupon or a bond expires),  
 +
*<math>Coupon</math> is the security's annual coupon rate,  
 +
*<math>Yield</math> is the security's annual yield,  
 +
*<math>Frequency</math> is the number of coupon payments per year, and
 +
*<math>Basis</math> is the type of day count basis to use.
 +
**DURATION(), returns the annual duration of a security with periodic interest payments.
  
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*Where 'settlement' is the security's settlement date (a date when coupon or a bond is purchased),
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== Description ==
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*'maturity' is the security's maturity date (a date when coupon or a bond expires),
 
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*'coupon' is the security's annual coupon rate,
 
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*'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.
 
−
 
 
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DURATION() gives the Macauley duration of a security for an assumed par value of $100.
 
  
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== Description ==
+
DURATION(Settlement, Maturity, Coupon, Yield, Frequency, Basis)
  
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DURATION(settlement, maturity, coupon, yield, frequency, basis)
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DURATION() calculates the rate of change of price with respect to yields. It is the weighted average time until cash flows are received.
  
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*If settlement or maturity dates are not valid, Calci displays an error message.
+
*<math>Settlement</math> and <math>Maturity</math> dates should be entered either in 'date format' or 'dates returned using formulas'. If dates are not valid, Calci displays #N/A error message.
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*If settlement date ≥ maturity date, Calci displays an error message.
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*If <math>Settlement</math> date ≥ <math>Maturity</math> date, Calci displays #N/A error message.
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*'coupon' and 'yield' values must be greater than or equal to zero.
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*<math>Coupon</math> and <math>Yield</math> values must be greater than or equal to zero.
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*The values for 'frequency' should be 1,2 or 4.  
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*The values for <math>Frequency</math> should be 1,2 or 4.  
 
For Annual payment, frequency = 1,
 
For Annual payment, frequency = 1,
  
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For Quarterly payment, frequency = 4.
 
For Quarterly payment, frequency = 4.
  
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*'basis' value is optional. If omitted, Calci assumes to be 0.  
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*<math>Basis</math> value is optional. If omitted, Calci assumes it to be 0.  
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Below table shows the use of 'basis' values:
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Below table shows the use of <math>Basis</math> values:
  
 
{| class="wikitable"
 
{| class="wikitable"
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! Basis !! Description
 
! Basis !! Description
 
|-
 
|-
−
| 0 || USD*30/360
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| 0 || US (NASD) 30/360
 
|-
 
|-
 
| 1 || Actual/actual  
 
| 1 || Actual/actual  
Line 42: Line 42:
 
|}
 
|}
  
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*If 'basis' value other than 0 to 4, Calci displays an error message.
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*If <math>Basis</math> value is other than 0 to 4, Calci displays #N/A 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=" " |
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| class="sshl_f" |  
−
| class="   " | Column1
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| class="sshl_f" | A
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| class=" " | Column2
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| class="sshl_f" | B
−
| class="     " | Column3
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| class="sshl_f" | C
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| Column4
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|- class="odd"
 
|- class="odd"
−
| class=" " | Row1
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| class="sshl_f" | 1
 
| class=" " | September 10, 2010
 
| class=" " | September 10, 2010
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| class="                                                                                                                                                                                                                                sshl_f  " |
 
 
| class=" " |
 
| class=" " |
 
| class=" " |
 
| class=" " |
 +
 
|- class="even"
 
|- class="even"
−
| class=" " | Row2
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| class="sshl_f" | 2
 
| class="sshl_f" | September 10, 2016
 
| class="sshl_f" | September 10, 2016
 
| class=" " |
 
| class=" " |
 
| class=" " |
 
| class=" " |
−
| class=" " |
+
 
 
|- class="odd"
 
|- class="odd"
−
| Row3
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| class="sshl_f" | 3
−
| class="SelectTd  " | 6%
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| class=" " | 6%
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| class=" " |
 
 
| class=" " |
 
| class=" " |
 
| class=" " |
 
| class=" " |
 +
 
|- class="even"
 
|- class="even"
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| Row4
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| class="sshl_f" | 4
 
| class=" " | 9.0%
 
| class=" " | 9.0%
 
| class=" " |
 
| class=" " |
 
| class=" " |
 
| class=" " |
−
| class=" " |
+
 
 
|- class="odd"
 
|- class="odd"
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| class=" " | Row5
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| class="sshl_f" | 5
 
| class=" " | 2
 
| class=" " | 2
 
| class=" " |
 
| class=" " |
 
| class=" " |
 
| class=" " |
−
| class="    " |
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|- class="even"
 
|- class="even"
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| Row6
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| class="sshl_f" | 6
−
| class="sshl_f " | 1
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| class=" " | 1
−
| class="sshl_f  sshl_f    " | 5.0458
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| class=" " |  
−
| class="                                                             sshl_f  " |
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| class=" " |
−
| class="       SelectTD  SelectTD" |
+
 
 
|}
 
|}
 +
 +
=DURATION(A1,A2,A3,A4,A5,A6) displays '''5.045790027952841''' as a result.
 +
=DURATION(DATE(2013,6,1),DATE(2013,12,31),"6%","8%",1,1) displays '''1''' as a result.
 +
 +
==Related Videos==
 +
 +
{{#ev:youtube|E9qTbAObZzY|280|center|DURATION}}
 +
 +
== See Also ==
 +
 +
*[[Manuals/calci/MDURATION | MDURATION]]
 +
 +
== References ==
 +
 +
*[http://en.wikipedia.org/wiki/Bond_duration#Macaulay_duration Macaulay Duration]
 +
*[http://en.wikipedia.org/wiki/Day_count_convention Day Count Basis]
 +
 +
 +
*[[Z_API_Functions | List of Main Z Functions]]
 +
 +
*[[ Z3 |  Z3 home ]]

Latest revision as of 16:11, 22 August 2018

DURATION (Settlement,Maturity,Coupon,Yield,Frequency,Basis)


  • Where is the security's settlement date (a date when coupon or a bond is purchased),
  • is the security's maturity date (a date when coupon or a bond expires),
  • is the security's annual coupon rate,
  • is the security's annual yield,
  • is the number of coupon payments per year, and
  • is the type of day count basis to use.
    • DURATION(), returns the annual duration of a security with periodic interest payments.

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.

  • and dates should be entered either in 'date format' or 'dates returned using formulas'. If dates are not valid, Calci displays #N/A error message.
  • If date ≥ date, Calci displays #N/A error message.
  • and values must be greater than or equal to zero.
  • The values for should be 1,2 or 4.

For Annual payment, frequency = 1,

For Semi-annual payment, frequency = 2,

For Quarterly payment, frequency = 4.

  • value is optional. If omitted, Calci assumes it to be 0.

Below table shows the use of values:

Basis Description
0 US (NASD) 30/360
1 Actual/actual
2 Actual/360
3 Actual/365
4 European 30/365
  • If value is other than 0 to 4, Calci displays #N/A error message.

Examples

Consider the following example that shows the use of DURATION function:

A B C
1 September 10, 2010
2 September 10, 2016
3 6%
4 9.0%
5 2
6 1 
=DURATION(A1,A2,A3,A4,A5,A6) displays 5.045790027952841 as a result.
=DURATION(DATE(2013,6,1),DATE(2013,12,31),"6%","8%",1,1) displays 1 as a result.

Related Videos

DURATION

See Also

References


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