DURATION function in excel is a financial function. It is used to find duration of a security in Macaulay form using Macaulay duration formula. Duration is expressed as weighted average of cash flows at present. It is a worksheet function and can be entered in the cell in which value is required.
=DURATION (settlement, maturity, coupon, yld, frequency, [basis]
- Settlement: It is the date on which security is settled. It comes after issue date when security is rated to the buyer.
- Maturity: It is the date on which security will be matured.
- Coupon: Annual Coupon Rate.
- YLD: Annual yield of the security.
- Frequency: Number of coupon payments in a year.
- Basis: Day count basis to be used.
- Microsoft Excel stores dates as serial numbers. By default, January 1, 1900 is serial number 1 and corresponding dates have serial number greater than 1.
- Settlement, maturity, frequency, and basis are converted to integers.
- If settlement or maturity is not a valid excel date, #VALUE! error is displayed.
- If coupon < 0 or if yld < 0, #NUM! error is displayed.
- If frequency is a number different from 1, 2, or 4, #NUM! error is displayed.
- If basis < 0 or if basis > 4, #NUM! error is displayed.
In this example, various arguments are entered in column A and their values are entered in column B, the resulted value is found using DURATION formula in column D.