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	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.