This function returns the Macauley duration for an assumed par value of $100.
DURATION(settlement,maturity,coupon,yield,frequency,basis)
This function has these arguments:
| Argument | Description |
|---|---|
| settlement | Settlement date for the security |
| maturity | Maturity date for the security |
| coupon | Annual coupon rate |
| yield | Annual yield for the security |
| frequency | Frequency of payment, number of coupon payments per year; must be 1, 2, or 4 |
| basis | [Optional] Integer representing the basis for day count (Refer to Day Count Basis.) |
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. If coupon is less than 0 or yield is less than 0, a #NUM! error is returned. If basis is less than 0 or greater than 4, a #NUM! error is returned. If settlement is greater than or equal to maturity, a #NUM! error is returned.
Accepts numeric and DateTime object data. Returns numeric data.
DURATION(C1,C2,C3,C4,C5,C6)
DURATION(R5C2,R2C4,R3C1,R4C1,R5C1)
This function is available in product version 2.0 or later.
COUPDAYS | MDURATION | Financial Functions
