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DURATION

This function returns the Macauley duration for an assumed par value of $100.

Syntax

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

Arguments

This function has these arguments:

Argument

Description

settlement

[Required] Settlement date for the security

maturity

[Required] Maturity date for the security

coupon

[Required] Annual coupon rate

yield

[Required] Annual yield for the security

frequency

[Required] Frequency of payment, number of coupon payments per year; must be 1, 2, or 4

basis

[Optional] Integer representing the basis for day count

Remarks

This function returns a #VALUE! error when settlement or maturity is invalid or a #NUM! error when frequency is a number other than 1, 2, or 4.

Settlement, maturity, frequency, and basis are truncated to integers.

The function returns an error in the following cases:

  • If coupon is less than 0 or yield is less than 0.

  • If basis is less than 0 or greater than 4.

  • If settlement is greater than or equal to maturity.

Examples

DURATION(C1,C2,C3,C4,C5,C6)

DURATION(R5C2,R2C4,R3C1,R4C1,R5C1)