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WorksheetFunction.Duration Method (Excel)

Returns the Macauley 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 response to changes in yield.

expression .Duration(Arg1, Arg2, Arg3, Arg4, Arg5, Arg6)

expression A variable that represents a WorksheetFunction object.

Parameters

Name

Required/Optional

Data Type

Description

Arg1

Required

Variant

Settlement - the security's settlement date. The security settlement date is the date after the issue date when the security is traded to the buyer.

Arg2

Required

Variant

Maturity - the security's maturity date. The maturity date is the date when the security expires.

Arg3

Required

Variant

Coupon - the security's annual coupon rate.

Arg4

Required

Variant

Yld - the security's annual yield.

Arg5

Required

Variant

Frequency - the number of coupon payments per year. For annual payments, frequency = 1; for semiannual, frequency = 2; for quarterly, frequency = 4.

Arg6

Optional

Variant

Basis - the type of day count basis to use.

Return Value

Double

Important note Important

Dates should be entered by using the DATE function, or as results of other formulas or functions. For example, use DATE(2008,5,23) for the 23rd day of May, 2008. Problems can occur if dates are entered as text.

Basis

Day count basis

0 or omitted

US (NASD) 30/360

1

Actual/actual

2

Actual/360

3

Actual/365

4

European 30/360

  • Microsoft Excel stores dates as sequential serial numbers so they can be used in calculations. By default, January 1, 1900 is serial number 1, and January 1, 2008 is serial number 39448 because it is 39,448 days after January 1, 1900. Microsoft Excel for the Macintosh uses a different date system as its default.

    Note Note

    Visual Basic for Applications (VBA) calculates serial dates differently than Excel. In VBA, serial number 1 is December 31, 1899, rather than January 1, 1900.

  • The settlement date is the date a buyer purchases a coupon, such as a bond. The maturity date is the date when a coupon expires. For example, suppose a 30-year bond is issued on January 1, 2008, and is purchased by a buyer six months later. The issue date would be January 1, 2008, the settlement date would be July 1, 2008, and the maturity date would be January 1, 2038, which is 30 years after the January 1, 2008, issue date.

  • Settlement, maturity, frequency, and basis are truncated to integers.

  • If settlement or maturity is not a valid date, DURATION returns the #VALUE! error value.

  • If coupon < 0 or if yld < 0, DURATION returns the #NUM! error value.

  • If frequency is any number other than 1, 2, or 4, DURATION returns the #NUM! error value.

  • If basis < 0 or if basis > 4, DURATION returns the #NUM! error value.

  • If settlement ≥ maturity, DURATION returns the #NUM! error value.

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