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)
DURATION() calculates the rate of change of price with respect to yields. It is the weighted average time of until cash flows are received.
- Settlement and maturity dates should be entered either in 'date format' or 'dates returned using formulas'. If 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.