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 | 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.) |
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. 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.
Data Types
Accepts numeric and DateTime object data. Returns numeric data.
Examples
DURATION(C1,C2,C3,C4,C5,C6)
DURATION(R5C2,R2C4,R3C1,R4C1,R5C1)
Version Available
This function is available in product version 2.0 or later.
See Also
COUPDAYS | MDURATION | Financial Functions