Duration

Syntax

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

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. It is set in the range from 0 to 4:

0. The day calculation method - American. 360 days (NSAD method). Default value.
1. Day calculation method - Actual/actual.
2. Day calculation method - Actual/360 days.
3. Day calculation method - Actual/365 days.
4. Day calculation method - European 30/360 days.

Optional parameter.

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

It returns Macaulay duration for an assumed $100 face value.

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

The duration is determined as a weighted mean of present value of cash flows and is used as a measure of reaction of bond prices to change in yield.

Formula

Result

Description

=Duration("01.01.2008", "01.01.2016", 0.28, 0.82, 4, 3)

1,4979

Macaulay duration at the following conditions:

=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.