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
Excel function: N/A