Microsoft Office Tutorials and References
In Depth Information
The COUPDAYBS, COUPDAYS, COUPDAYSNC, COUPNCD, COUPNUM, and COUPPCD functions
Finally, the TBILLYIELD function calculates a U.S. Treasury bill’s yield. It takes the arguments
settlement , maturity , and price . Using the preceding example with its precise result, 99.6417,
the yield formula =TBILLYIELD("2/1/14", "7/1/14", 99.6417) returns the yield 0.00863, or
0.86 percent.
The COUPDAYBS, COUPDAYS, COUPDAYSNC, COUPNCD,
COUPNUM, and COUPPCD functions
This group of functions performs calculations related to bond coupons. For all the sample
formulas in this section, we use as our example a bond with a settlement date of March 1,
2014, and a maturity date of December 1, 2014. Its coupons are payable semiannually,
using the actual/actual basis (that is, a basis argument of 1). All these functions take the
arguments settlement , maturity , frequency , and basis . (For definitions of these arguments,
see Table 16-3.)
The COUPDAYBS function calculates the number of days from the beginning of the coupon
period to the settlement date. Using our sample data, the formula =COUPDAYBS("3/1/14",
"12/1/14", 2, 1) returns 90.
The COUPDAYS function calculates the number of days in the coupon period that contains
the settlement date. Using our sample data, the formula =COUPDAYS("3/1/14", "12/1/14",
2, 1) returns 182.
The COUPDAYSNC function calculates the number of days from the settlement date to the
next coupon date. Using our sample data, the formula =COUPDAYSNC("3/1/14", "12/1/14",
2, 1) returns 92.
The COUPNCD function calculates the next coupon date after the settlement date. Using
our sample data, the formula =COUPNCD("3/1/14", "12/1/14", 2, 1) returns 41791, or
June 1, 2014.
The COUPNUM function calculates the number of coupons payable between the
settlement date and the maturity date and rounds the result to the nearest whole coupon. Using
our sample data, the formula =COUPNUM("3/1/14", "12/1/14", 2, 1) returns 2.
The COUPPCD function calculates the coupon date before the settlement date. Using
our sample data, the formula =COUPPCD("3/1/14", "12/1/14", 2, 1) returns 41609, or
December 1, 2013.
The DURATION and MDURATION functions
The DURATION function calculates the annual duration for a security whose interest
payments are made on a periodic basis. Duration is the weighted average of the present value
of the bond’s cash low and measures how a bond’s price responds to changes in the yield.
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