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DURATION

 

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


next up previous contents index
Next: EDATE Up: A Function Reference Previous: DOT

NExS User's Guide, Version 1.4.5
Grey Trout Software
11 April 1999