WorksheetFunction.Duration (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.

Duration (Arg1, Arg2, ..., Arg6)

Dim dblDuration As Double
dblDuration = WorksheetFunction.Duration(Arg1:=, Arg2:=, Arg3:=, Arg4:=, Arg5:=)

Arguments

Arg1 - 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 - Maturity - the security's maturity date. The maturity date is the date when the security expires

Arg3 - Coupon - the security's annual coupon rate

Arg4 - Yld - the security's annual yield

Arg5 - Frequency - the number of coupon payments per year. For annual payments, frequency = 1; for semiannual, frequency = 2; for quarterly, frequency = 4

Arg6 - Basis - the type of day count basis to use