Difference between revisions of "Manuals/calci/DURATION"
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| − | =DURATION( | + | <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), | |
| − | *Where <math> | + | *<math>Maturity</math> is the security's maturity date (a date when coupon or a bond expires), |
| − | *<math> | ||
*<math>Coupon</math> is the security's annual coupon rate, | *<math>Coupon</math> is the security's annual coupon rate, | ||
*<math>Yield</math> is the security's annual yield, | *<math>Yield</math> is the security's annual yield, | ||
| Line 8: | Line 7: | ||
*<math>Basis</math> is the type of day count basis to use. | *<math>Basis</math> is the type of day count basis to use. | ||
| − | DURATION() | + | DURATION(), returns the annual duration of a security with periodic interest payments. |
== Description == | == Description == | ||
| − | DURATION( | + | 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. | DURATION() calculates the rate of change of price with respect to yields. It is the weighted average time until cash flows are received. | ||
| − | *<math> | + | *<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. |
| − | *If <math> | + | *If <math>Settlement</math> date ≥ <math>Maturity</math> date, Calci displays #N/A error message. |
*<math>Coupon</math> and <math>Yield</math> values must be greater than or equal to zero. | *<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. | *The values for <math>Frequency</math> should be 1,2 or 4. | ||
Revision as of 15:52, 29 June 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.
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.
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