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WorksheetFunction.Duration Method

Excel Developer Reference

Returns the Macauley duration for an assumed par value of $100. Duration is defined as the weighted average of the present value of the cash flows and is used as a measure of a bond price's response to changes in yield.

Syntax

expression.Duration(Arg1, Arg2, Arg3, Arg4, Arg5, Arg6)

expression   A variable that represents a WorksheetFunction object.

Parameters

Name Required/Optional Data Type Description
Arg1 Required Variant Settlement - the security's settlement date. The security settlement date is the date after the issue date when the security is traded to the buyer.
Arg2 Required Variant Maturity - the security's maturity date. The maturity date is the date when the security expires.
Arg3 Required Variant Coupon - the security's annual coupon rate.
Arg4 Required Variant Yld - the security's annual yield.
Arg5 Required Variant Frequency - the number of coupon payments per year. For annual payments, frequency = 1; for semiannual, frequency = 2; for quarterly, frequency = 4.
Arg6 Optional Variant Basis - the type of day count basis to use.

Return Value
Double

Remarks

Important Dates should be entered by using the DATE function, or as results of other formulas or functions. For example, use DATE(2008,5,23) for the 23rd day of May, 2008. Problems can occur if dates are entered as text.

Basis Day count basis
0 or omitted US (NASD) 30/360
1 Actual/actual
2 Actual/360
3 Actual/365
4 European 30/360
  • Microsoft Excel stores dates as sequential serial numbers so they can be used in calculations. By default, January 1, 1900 is serial number 1, and January 1, 2008 is serial number 39448 because it is 39,448 days after January 1, 1900. Microsoft Excel for the Macintosh uses a different date system as its default.
  • The settlement date is the date a buyer purchases a coupon, such as a bond. The maturity date is the date when a coupon expires. For example, suppose a 30-year bond is issued on January 1, 2008, and is purchased by a buyer six months later. The issue date would be January 1, 2008, the settlement date would be July 1, 2008, and the maturity date would be January 1, 2038, which is 30 years after the January 1, 2008, issue date.
  • Settlement, maturity, frequency, and basis are truncated to integers.
  • If settlement or maturity is not a valid date, DURATION returns the #VALUE! error value.
  • If coupon < 0 or if yld < 0, DURATION returns the #NUM! error value.
  • If frequency is any number other than 1, 2, or 4, DURATION returns the #NUM! error value.
  • If basis < 0 or if basis > 4, DURATION returns the #NUM! error value.
  • If settlement ≥ maturity, DURATION returns the #NUM! error value.

See Also