Description Computes the Macaulay duration for a security, in years.
Syntax DURATION ( settlement, maturity, rate, yield, frequency [, calendar_type]
| Argument | Description |
|---|---|
| settlement | The date when the security is traded to the buyer. Dates in the argument list must be in the form of a serial number or text. Numbers will be truncated to integers. |
| maturity | The date the security expires and the remaining amount is paid to the investor. Dates in the argument list must be in the form of a serial number or text. Numbers will be truncated to integers. |
| rate | The security's annual coupon rate. |
| yield | The security's annual yield. |
| frequency | The number of interest payments per year. See "The frequency Argument" for more information. |
| [calendar_type] | Optional. One of five methods of counting days for computing interest. See "The calendar_type Argument" for more information. |
Equation
...where the codes correspond to values you can compute using other functions, as shown in the following table..
| Code | Meaning | Function |
|---|---|---|
| DSC | Number of days from settlement to the next coupon period. | COUPDAYSNC |
| E | Number of days in the coupon period. | COUPDAYS |
| N | Number of coupons payable between settlement and maturity. | COUPNUM |
Examples This function returns 7.24649:
DURATION("3/17/89","3/17/99",0.07,0.08,2,1)
See Also MDURATION
