Monday, 1 May 2017

Excel - Microsoft Excel Duration Function

Description

The Excel DURATION function calculates the Duration (specifically, the Macaulay Duration) of a security that pays periodic interest, assuming a par value of $100. 

The syntax of the function is : 

DURATION( settlement, maturity, coupon, yld, frequency, [basis] ) 


Where the arguments are as follows: 

Excel Duration Function Example
In the following example, the Excel Duration function is used to calculate the annual duration of a coupon purchased on 01-Apr-2010, with Maturity date 31-Mar-2020 and a coupon rate of 10%. The yield is 8% and payments are made quarterly. 




Duration Function Errors
If you get an error from the Duration function, use the table below to look up the likely cause: 

Common Errors 













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