Microsoft Office Tutorials and References
In Depth Information
Syntax
indicates how many years it will take to earn back
the security s purchase price.
Figure 13.26.
Figure 13.26. DURATION
DURATION indicates how many years it will take to earn back
the security s purchase price. MDURATION
shows the change in duration if
the yield were to increase by 1%.
MDURATION shows the change in duration if
the yield were to increase by 1%.
Syntax
DURATION(settle-
ment_date,maturity_date,coupon_rate,yield_rate,frequency,basis)
The DURATION function returns the Macaulay duration for an assumed par
value of $100. Duration is defined as the weighted average of the present
value of the cash flows and is used as a measure of a bond price s re-
sponse to changes in yield.
Syntax
MDURATION(settle-
ment_date,maturity_date,coupon_rate,yield_rate,frequency,basis)
The MDURATION function returns the modified duration for a security with
an assumed par value of $100.
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