DURATION(S, M, C, Y, F [, B])

 

Description

This function returns the Macauley duration for an assumed par value of $100.

 

Parameters

 

S

Settlement date.

 

M

Maturity date.

 

C

Annual coupon rate.

 

Y

Annual yield.

 

F

Number of payments per year (frequency).

 

B

(Optional)  The day count basis to used:

 

 

Examples

 

DURATION(DATE(90, 1, 1), DATE(95, 1, 1), 10%, 8%, 2, 0) = 4.0954