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

Returns the annual duration of a security that pays interest periodically.

settlementThe settlement date of the security.
maturityThe maturity date of the security.
couponThe annual coupon rate of the security.
yieldThe annual yield of the security.
frequencyThe number of coupon payments per year:
1 = annual
2 = semi annual
4 = quarterly
basis(Optional) The type of day counting to use:
0 = US 30/360 (default)
1 = Actual/Actual
2 = Actual/360
3 = Actual/365
4 = European 30/360

Remarks

* This function assumes the par value is $100.
* This function 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.
* This function uses Macauley ??
* The "settlement" date is the date a buyer purchases a coupon, such as a bond.
* Dates must be entered as text strings with quotation marks or as serial numbers.
* If "settlement" is not an integer, it is truncated.
* If "settlement" is not a valid date, then #NUM! is returned.
* If "settlement" >= "maturity", then #NUM! is returned.
* The "maturity" date is the date when the security expires.
* If "maturity" is not an integer, it is truncated.
* If "maturity" is not a valid date, then #NUM! is returned.
* If "coupon" < 0, then #NUM! is returned.
* If "yield" < 0, then #NUM! is returned.
* If "frequency" is not an integer, it is truncated.
* If "frequency" is any number other than 1, 2 or 4, then #NUM! is returned.
* If "basis" is left blank, then 0 is used.
* If "basis" is not an integer, it is truncated.
* If "basis" < 0, then #NUM! is returned.
* If "basis" > 4, then #NUM! is returned.
* In Excel 2007 the accuracy of this function was improved.
* In Excel 2003 this function was only available when you had the Analysis ToolPak add-in loaded.
* For the Microsoft documentation refer to support.office.com

 A
1=DURATION("1/1/1998","1/1/2006",0.08,0.09,2) = 5.994
2=DURATION("1/1/1998","1/1/2006",0.08,0.09,2,1) = 5.994


© 2019 Better Solutions Limited. All Rights Reserved. © 2019 Better Solutions Limited Top