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