Excel 2000 in a Nutshell

Name

DURATION

Synopsis

DURATION (an Analysis ToolPak function) allows you to determine the Macauley duration of a security. The security is assumed to have a par value of $100.

To Calculate

=DURATION(Settlement, Maturity, Coupon, Yld, Frequency, Basis)

The Basis argument is the only optional argument. All other arguments must have values.

Coupon

Specifies a numeric value that represents the annual coupon rate for the security. For example, if the security has a coupon rate of 9% the value of this argument is 0.09.

Yld

Indicates the annual yield (interest paid) of the security. The value of the argument should be a numeric value that represents the yield percentage. For example, if the security pays 5% annually, the value of this argument would be 0.05.

Example

Figure 12-8 shows how you can use DURATION to determine the duration of a security. The example allows you to see the difference between the results of this function and results returned by the other duration function, MDURATION.

Figure 12-8. Excel provides two different functions, DURATION and MDURATION that can be used to determine the duration of a security