[Table of Contents] [docx version]

SpreadsheetML Reference Material - Table of Contents

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]