Manuals/calci/DURATION

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(), 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.

• $Settlement$ and $Maturity$ 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 $Settlement$ date ≥ $Maturity$ date, Calci displays #N/A 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 #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

• MDURATION

References

• Macaulay Duration
• Day Count Basis

• List of Main Z Functions

• Z3 home