To work with the tool in Foresight Analytics Platform 10, use the new interface.

Duration

The function wizard for the Duration function looks as follows:

Syntax

Duration(Settlement, Maturity, Coupon, YieldP, Frequency[, Basis])

Parameters

Settlement. The payment day on securities. This date is later than the issue date (the date, when the securities were sold to the buyer).

Maturity. The security's maturity date. The maturity date is the date when the security expires.

Coupon. Annual interest rate for coupons on securities.

YieldP. The annual income on securities.

Frequency. The number of coupon payments per year. Required argument. The parameter may take the following values:

Basis. The day calculation method used. Select a value from 0 to 4:

Optional parameter.

NOTE. To determine the parameter, it is available to specify either the parameter value or the cell address where it is located.

Description

It returns Macaulay duration for an assumed face value of 100 dollars.

Comments

The value of the Settlement parameter must be less than value of the Maturity parameter.

Duration is defined as the weighted average of the present value of the cash flows and is used as a measure of a bond price's response to changes in yield.

Example

Formula Result Description
=Duration("01.01.2008", "01.01.2016", 0.28, 0.82, 4, 3) 1,4979 Macaulay duration at the following conditions:

  • The security's settlement date is 01.01.2008.

  • The security's maturity date is 01.01.2016.

  • The annual interest rate is 28 %.

  • The annual income is 82 %.

  • The number of payments for coupons in a year is 4 (quarterly payments).

  • The day calculation method - actual/365 days.
=Duration(A1, A2, 0.08, 0.09, 2, 1) 5,9938 Macaulay duration at the following conditions:

  • The security's settlement date is specified in the A1 cell, value is 01.01.2008.

  • The security's maturity date is specified in the A3 cell, value is 01.01.2016.

  • The annual interest rate is 8 %.

  • The annual income is 9 %.

  • The number of payments for coupons in a year is 2, semi-annual payments.

  • The day calculation method - American.

See also:

Function Wizard │ Financial Functions │ IFinance.Duration