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 |
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settlement |
number |
The security's settlement date. |
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maturity |
number |
The security's maturity date. |
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coupon |
number |
The security's annual coupon rate. |
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yld |
number |
The security's annual yield. |
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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. |
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basis |
number |
The truncated integer type of day count basis to use, as follows:
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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.