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The DURATION function is one of the financial functions. It is used to calculate the Macaulay duration of a security with an assumed par value of $100.


DURATION(settlement, maturity, coupon, yld, frequency, [basis])

The DURATION function has the following arguments:

Argument Description
settlement The date when the security is purchased.
maturity The date when the security expires.
coupon The annual coupon rate of the security.
yld The annual yield of the security.
frequency The number of interest payments per year. The possible values are: 1 for annual payments, 2 for semiannual payments, 4 for quarterly payments.
basis The day count basis to use, a numeric value greater than or equal to 0, but less than or equal to 4. It is an optional argument. The possible values are listed in the table below.

The basis argument can be one of the following:

Numeric value Count basis
0 US (NASD) 30/360
1 Actual/actual
2 Actual/360
3 Actual/365
4 European 30/360


Dates must be entered by using the DATE function.

How to apply the DURATION function.


The figure below displays the result returned by the DURATION function.


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