DURATION

Syntax:

DURATION ( settlement , maturity , coupon , yld , frequency [ , [ basis ] ] )

Description: Computes the Macauley duration for an assumed par value of $100. Duration is defined as the weighted average of the present value of the cash flows and is used as a measure of a bond price's response to changes in yield.

Arguments:

Name	Type	Description
settlement	number	The security's settlement date.
maturity	number	The security's maturity date.
coupon	number	The security's annual coupon rate.
yld	number	The security's annual yield.
frequency	number	The number of coupon payments per year. For annual payments, frequency is 1; for semiannual payments, frequency is 2; for quarterly payments, frequency is 4. frequency is truncated to an integer.
basis	number	The truncated integer type of day count basis to use, as follows: Value Day Count Basis 0 or omitted US (NASD) 30/360 1 Actual/actual 2 Actual/360 3 Actual/365 4 European 30/360

 

Time information in the date arguments is ignored.

Return Type and Value: number – The Macauley duration for an assumed par value of $100.

However, if

• settlement or maturity is out of range for the current date base value, #NUM! is returned.

• settlement ≥ maturity, #NUM! is returned.

• coupon or yld < 0, #NUM! is returned.

• frequency is any number other than 1, 2, or 4, #NUM! is returned.

• basis < 0 or basis > 4, #NUM! is returned.

[Example:

DURATION(DATE(2008,1,1),DATE(2016,1,1),0.08,0.09,2,1) results in 5.993774956

end example]