Excel DURATION function
The DURATION function calculates the duration (in particular, the Macaulay Duration) of a security that pays interest on a periodic basis with a par value of $100.
DURATION(settlement, maturity, coupon, yld, frequency, [basis])
|o or omitted||US 30/360 (NASD method)|
Such as: "coupon" < 0; yld < 0; "frequenc" is not equal to 1, 2 or 4; or [basis] is any number other than 0, 1, 2, 3 or 4;
It returns a numeric value.
As shown in the screenshot below, in range B5:C10 lists the details of a security, to calculate the Macaulay duration, you can do as follows.
1. Select a blank cell to output the result, copy or enter the formula below and press the Enter key.
Notes: In addition to using references to date cells in the formula, you can directly type in dates by using DATE function as follows.
Excel COUPDAYBS Function
The COUPDAYBS function returns the number of days between the beginning of the coupon period and its settlement date.
Excel COUPDAYS Function
The COUPDAYS function returns the number of days in the coupon period including the settlement date.
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