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.
Syntax
DURATION(settlement, maturity, coupon, yld, frequency, [basis])
Arguments
Basis | Date System |
o or omitted | US 30/360 (NASD method) |
1 | Actual/actual |
2 | Actual/360 |
3 | Actual/365 |
4 | European 30/360 |
Remarks
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;
Return Value
It returns a numeric value.
Example
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.
=DURATION(C5,C6,C7,C8,C9,C10)
Notes: In addition to using references to date cells in the formula, you can directly type in dates by using DATE function as follows.
Related Functions
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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