DURATION
Returns the annual duration of a security with periodic interest payments.
FinancialFinance & Accounting
What it does
Calculates the Macaulay duration of a security.
Syntax
DURATION(settlement, maturity, coupon, yld, frequency, [basis])
Arguments
settlement(date) — Settlement date.maturity(date) — Maturity date.coupon(number) — Annual coupon rate.yld(number) — Annual yield.frequency(number) — Coupons per year.
Examples
Bond Duration
Calculate duration.
FORMULA
=DURATION(A2, B2, 0.08, 0.09, 2)
RESULT
7.3
SAMPLE DATA
| A | B | |
|---|---|---|
| 1 | Settlement | Maturity |
| 2 | 2023-01-01 | 2033-01-01 |