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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

Excel function: N/A


next up previous contents index
Next: EDATE Up: A. Function Reference Previous: DOT   Contents   Index
SpreadScript User's Guide, Version 1.2
Grey Trout Software
02 March 2003