DURATION

Definition: DURATION is a function that returns the Macaulay duration of a security, which is a measure of the security’s interest rate risk.

Syntax: =DURATION(settlement, maturity, coupon, yld, [frequency], [basis])

Situation: This formula is suitable when you need to find the Macaulay duration of a security.

Example: If you have a security with a settlement date of January 1, 2021, a maturity date of December 31, 2021, a coupon rate of 5%, a yield of 6%, and a basis of actual/360, the Macaulay duration can be found using the formula =DURATION(“1/1/2021”, “12/31/2021”, 0.05, 0.06, 2, 3).