Difference between revisions of "Manuals/calci/DURATION"

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(Created page with "<div id="6SpaceContent" class="zcontent" align="left"> '''<font color="#484848"><font face="Arial, sans-serif"><font size="2">DURATION(settle, M, C, Yield, F, basis)</font></...")
 
 
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<div id="6SpaceContent" class="zcontent" align="left"> '''<font color="#484848"><font face="Arial, sans-serif"><font size="2">DURATION(settle, M, C, Yield, F, basis)</font></font></font>'''
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<div style="font-size:30px">'''DURATION (Settlement,Maturity,Coupon,Yield,Frequency,Basis)'''</div><br/>
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*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,
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*<math>Yield</math> is the security's annual yield,
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*<math>Frequency</math> is the number of coupon payments per year, and
 +
*<math>Basis</math> is the type of day count basis to use.
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**DURATION(), returns the annual duration of a security with periodic interest payments.
  
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<font color="#484848"><font face="Arial, sans-serif"><font size="2">'''Where 'settle''''</font></font></font><font color="#484848"><font face="Arial, sans-serif"><font size="2"> is the security's settlement date, 'M' is the security's maturity date, 'C' is the security's annual coupon rate, 'Yield' is the security's annual yield, 'F' is the number of coupon payments per year, and 'basis' is the type of day count basis to use.</font></font></font>
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== Description ==
  
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</div>
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DURATION(Settlement, Maturity, Coupon, Yield, Frequency, Basis)
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<div id="1SpaceContent" class="zcontent" align="left"> <font color="#484848"><font face="Arial, sans-serif"><font size="2">This function gives the Macauley duration for an assumed par value of $100. </font></font></font></div>
 
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<div id="7SpaceContent" class="zcontent" align="left"> 
 
  
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* <font color="#000000"><font face="Arial, sans-serif"><font size="2">DURATION calculates the error value when settlement or maturity is not a valid or settlement ≥ maturity.</font></font></font>
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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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* <font color="#000000"><font face="Arial, sans-serif"><font size="2">'C' and 'Yield' must be grater than or equal to zero.</font></font></font>
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*<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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* <font color="#000000"><font face="Arial, sans-serif"><font size="2">The values for 'F' is 1,2 and 4</font></font></font>
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*If <math>Settlement</math> date ≥ <math>Maturity</math> date, Calci displays #N/A error message.
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* <font color="#000000"><font face="Arial, sans-serif"><font size="2">Basis value should between 0 and 4.</font></font></font>
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*<math>Coupon</math> and <math>Yield</math> values must be greater than or equal to zero.
 +
*The values for <math>Frequency</math> should be 1,2 or 4.  
 +
For Annual payment, frequency = 1,
  
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</div>
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For Semi-annual payment, frequency = 2,
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<div id="12SpaceContent" class="zcontent" align="left"><div class="ZEditBox" align="left">
 
  
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DURATION
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For Quarterly payment, frequency = 4.
  
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</div></div>
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*<math>Basis</math> value is optional. If omitted, Calci assumes it to be 0.
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----
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Below table shows the use of <math>Basis</math> values:
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<div id="8SpaceContent" class="zcontent" align="left"> <font color="#000000"><font face="Arial, sans-serif"><font size="2">Lets see an example,</font></font></font>
 
  
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<font color="#000000"><font face="Arial, sans-serif"><font size="2">DURATION(settle, M, C, Yield, F, basis)</font></font></font>
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{| class="wikitable"
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|-
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<font color="#000000"><font face="Arial, sans-serif"><font size="2">'''B'''</font></font></font>
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! Basis !! Description
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|-
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<font color="#000000"><font face="Arial, sans-serif"><font size="2">September 10, 2010</font></font></font>
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| 0 || US (NASD) 30/360
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|-
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<font color="#000000"><font face="Arial, sans-serif"><font size="2">Septembet 10, 2016</font></font></font>
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| 1 || Actual/actual
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|-
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<font color="#000000"><font face="Arial, sans-serif"><font size="2">6%</font></font></font>
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| 2 || Actual/360
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|-
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<font color="#000000"><font face="Arial, sans-serif"><font size="2">9.0%</font></font></font>
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| 3 || Actual/365
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|-
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<font color="#000000"><font face="Arial, sans-serif"><font size="2">2</font></font></font>
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| 4 || European 30/365
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|}
  
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<font color="#000000"><font face="Arial, sans-serif"><font size="2">1</font></font></font>
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*If <math>Basis</math> value is other than 0 to 4, Calci displays #N/A error message.
  
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<font color="#000000"><font face="Arial, sans-serif"><font size="2"><nowiki>=DURATION(B2,B3,B4,B5,B6,B7) is 5.0458</nowiki></font></font></font>
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== Examples ==
  
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<br /><br />
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Consider the following example that shows the use of DURATION function:
  
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</div>
 
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<div id="10SpaceContent" class="zcontent" align="left"><div class="ZEditBox" align="justify">Syntax </div><div class="ZEditBox"><center></center></div></div>
 
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----
 
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<div id="4SpaceContent" class="zcontent" align="left"><div class="ZEditBox" align="justify">Remarks </div></div>
 
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<div id="3SpaceContent" class="zcontent" align="left"><div class="ZEditBox" align="justify">Examples </div></div>
 
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<div id="11SpaceContent" class="zcontent" align="left"><div class="ZEditBox" align="justify">Description </div></div>
 
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<div id="2SpaceContent" class="zcontent" align="left">
 
<div id="2SpaceContent" class="zcontent" align="left">
  
 
{| id="TABLE3" class="SpreadSheet blue"
 
{| id="TABLE3" class="SpreadSheet blue"
 
|- class="even"
 
|- class="even"
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| class=" " |
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| class="sshl_f" |  
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| class="   " | Column1
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| class="sshl_f" | A
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| class=" " | Column2
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| class="sshl_f" | B
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| class="     " | Column3
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| class="sshl_f" | C
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| Column4
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|- class="odd"
 
|- class="odd"
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| 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=" " |
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|- class="even"
 
|- class="even"
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| 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=" " |
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|- class="odd"
 
|- class="odd"
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| Row3
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| class="sshl_f" | 3
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| 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=" " |
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|- 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=" " |
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| class="    " |
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|- class="even"
 
|- class="even"
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| Row6
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| class="sshl_f" | 6
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| class="sshl_f " | 1
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| class=" " | 1
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| class="sshl_f  sshl_f    " | 5.0458
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| class=" " |  
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| class="                                                             sshl_f  " |
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| class=" " |
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| class="       SelectTD  SelectTD" |
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<div id="2Space_Handle" title="Click and Drag to resize CALCI Column/Row/Cell. It is EZ!"></div><div id="2Space_Copy" title="Click and Drag over to AutoFill other cells."></div>
 
 
|}
 
|}
  
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<div align="left">[[Image:calci1.gif]]</div></div>
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=DURATION(A1,A2,A3,A4,A5,A6) displays '''5.045790027952841''' as a result.
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=DURATION(DATE(2013,6,1),DATE(2013,12,31),"6%","8%",1,1) displays '''1''' as a result.
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==Related Videos==
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{{#ev:youtube|E9qTbAObZzY|280|center|DURATION}}
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== See Also ==
 +
 
 +
*[[Manuals/calci/MDURATION | MDURATION]]
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== References ==
 +
 
 +
*[http://en.wikipedia.org/wiki/Bond_duration#Macaulay_duration Macaulay Duration]
 +
*[http://en.wikipedia.org/wiki/Day_count_convention Day Count Basis]
 +
 
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*[[Z_API_Functions | List of Main Z Functions]]
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*[[ 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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