Excel’s DURATION function returns theMacauley durationfor an assumed par value of $100.
The Macaulay duration is the weighted average term to maturity of the cash flows from a security.
Excel also provides theMDURATION functionfor calculating modified duration.
Thesettlementdate is 15-Dec-2017, thematuritydate is 15-Sep-2027, and the day countbasis is US (NASD) 30/360.
The formula in F5 is:
and returns 7.74 years.
Entering dates
In Excel,dates are serial numbers.
To enter valid dates directly inside a function, it’s possible for you to use theDATE function.
The DISC function allows 5 options (0-4) and defaults to zero, which specifies US 30/360basis.
Thisarticle on Wikipediaprovides a detailed explanation of available conventions.
