Manuals/calci/DURATION
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DURATION(settlement, maturity, coupon, yield, frequency, basis)
- Where 'settlement' is the security's settlement date,
- 'maturity' is the security's maturity date,
- '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 for an assumed par value of $100.
Description
DURATION(settlement, maturity, coupon, yield, frequency, basis)
- 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.
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 |
