CFI-Excel-eBook

The Corporate Finance Institute Excel
Example 1
In this example, we will calculate the duration of a coupon purchased on April
1, 2017, with a maturity date of March 31, 2025 and a coupon rate of 6%. The
yield is 5% and payments are made quarterly.
The function returns a duration of 6.46831 years.
As we omitted the basis argument, the DURATION function took the days count
as US(NASD) 30/360. As it uses Macaulay Duration, the formula used is:
It calculates the weighted average term to maturity of the cash flows from a
bond. The weight of each cash flow is determined by dividing the present value
of the cash flow by the bond price.
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