Syntax: @DURATION(S, M, C, Y, F [, B])
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:
0 or omitted | 30/360 |
1 | Actual/actual |
2 | Actual/360 |
3 | Actual/365 |
@DURATION returns the Macauley duration for an assumed par value of $100.
Example:
@DURATION(@DATE(90, 1, 1), @DATE(95, 1, 1), 10%, 8%, 2, 0) = 4.0954