DURATION(settlement, maturity, coupon, yield, frequency, basis)

Where 'settlement' is the security's settlement date (a date when coupon is purchased),
'maturity' is the security's maturity date (a date when coupon 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 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