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Microsoft® Excel® 2010 Formulas & Functions Inside Out by Helmut Reinke Egbert Jeschke Sara Unverhau, Eckehard Pfeifer, Bodo Fienitz, and Jens Bock

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DURATION()

Syntax. DURATION(Settlement,Maturity,Nominal_Interest,Yield,Frequency,Basis)

Definition. This function calculates the (average) capital commitment duration of a fixed-interest security. It is called Macauley Duration, after its developer.

Arguments

  • Settlement (required) The date when the ownership of the security changes.

  • Maturity (required) The date when the repayment of the loan certified by the security takes place.

  • Coupon (required) The agreed-upon yearly interest rate as the price for the loaned money.

  • Yield (required) Represents the market interest rate on the settlement day, at which during calculation of the duration all future payments are discounted.

  • Frequency (required) Because it is quite common to have fixed-interest securities ...

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