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)
- If settlement or maturity 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.