Returns the Macauley duration for a security with an assumed par value of $100.
Syntax
DURATION(settlement, maturity, coupon, yld, frequency, [basis])Argument
settlementobligatoriskt
The security's settlement date.
maturityobligatoriskt
The security's maturity date.
couponobligatoriskt
The security's annual coupon rate.
yldobligatoriskt
The security's annual yield.
frequencyobligatoriskt
The number of coupon payments per year.
basisvalfritt
The type of day count basis to use.
The DURATION function calculates the weighted average term to maturity of a security's cash flows. It is commonly used to measure the price sensitivity of a bond to changes in interest rates.
=DURATION("2023-01-01", "2033-01-01", 0.05, 0.04, 2)→8.24Calculates the duration for a 10-year bond with a 5% coupon and 4% yield, paid semi-annually.
Prepare bond data
Ensure your settlement and maturity dates are in a recognized date format.
Apply the function
Enter the DURATION function with the required bond parameters to calculate the sensitivity.
DURATION calculates the Macauley duration, while MDURATION calculates the modified Macauley duration, which adjusts for yield changes.