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)

See Also