Manuals/calci/DURATION
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DURATION(settle, M, C, Yield, F, basis)
Where 'settle' 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.
This function gives the Macauley duration for an assumed par value of $100.
- DURATION calculates the error value when settlement or maturity is not a valid or settlement ≥ maturity.
- 'C' and 'Yield' must be grater than or equal to zero.
- The values for 'F' is 1,2 and 4
- Basis value should between 0 and 4.
DURATION
Lets see an example,
DURATION(settle, M, C, Yield, F, basis)
B
September 10, 2010
Septembet 10, 2016
6%
9.0%
2
1
=DURATION(B2,B3,B4,B5,B6,B7) is 5.0458
Syntax
Remarks
Examples
Description
| Column1 | Column2 | Column3 | Column4 | |
| Row1 | September 10, 2010 | |||
| Row2 | September 10, 2016 | |||
| Row3 | 6% | |||
| Row4 | 9.0% | |||
| Row5 | 2 | |||
| Row6 | 1 | 5.0458 |
