Excel DURATION Function
The DURATION function calculates Macaulay duration of a security with periodic interest payments. Learn syntax, examples, and best practices.
Excel
Google SheetsExcelGoogle Sheets=DURATION(settlement, maturity, coupon, yld, frequency, [basis])Quick Answer
DURATION function DURATION function calculates the Macaulay duration of a security with periodic interest payments, returning the weighted average time to receive cash flows.
=DURATION(settlement, maturity, coupon, yld, frequency, [basis])- Syntax: `=DURATION(settlement, maturity, coupon, yld, frequency, [basis])` Example: `=DURATION(DATE(2025,1,1), DATE(2030,1,1), 0.06, 0.08, 2, 0)` returns 4.28 years for a 5-year bond with 6% coupon and 8% yield.
Practical Examples
Basic Bond Duration Calculation
Calculate the Macaulay duration for a corporate bond with semi-annual coupon payments
Treasury Bond Duration Analysis
Compare duration of government bonds with different yields
Portfolio Duration Calculation
Calculate duration for multiple bonds in a portfolio
High-Yield Bond Duration
Analyze duration for bonds with higher yield spreads
Duration with Error Handling
Prevent calculation errors with IFERROR wrapper
Zero-Coupon Bond Duration
Special case where duration equals time to maturity
Cross-Sheet Bond Portfolio Analysis
Calculate duration using data from multiple sheets
Common Errors and Solutions
Invalid dates or negative values
Settlement date is after maturity date, or coupon/yield values are negative
Ensure settlement date is before maturity date and all numeric values (coupon, yield) are non-negative
Validate date inputs and use data validation rules to ensure positive rates
Example:
Text in numeric parameters
One or more numeric parameters contains text instead of numbers
Verify that coupon, yield, frequency, and basis are numeric values, not text. Check for hidden characters or formatting issues.
Use ISNUMBER() to validate inputs before calculation
Example:
Settlement date after maturity date
The settlement date parameter is later than the maturity date
Check that the settlement date occurs before the maturity date. Verify date formats are correct.
Use conditional formatting or data validation to ensure settlement < maturity
Example:
Invalid frequency value
Frequency parameter is not 1, 2, or 4
Frequency must be 1 (annual), 2 (semi-annual), or 4 (quarterly). Correct the frequency value.
Create a dropdown list with valid frequency values (1, 2, 4)
Example:
Best Practices and Pro Tips
Combine DURATION with MDURATION
Combine DURATION with MDURATION for modified duration calculations, which measure price sensitivity to yield changes. Use Macaulay duration for time analysis and modified duration for hedging calculations.
Use Duration for Immunization Strategies
Use duration for immunization strategies by matching asset and liability durations to protect against interest rate risk. This ensures portfolio value remains stable despite rate changes.
Calculate Portfolio-Weighted Duration
Calculate portfolio-weighted duration by multiplying individual bond durations by their portfolio weights and summing. This provides overall portfolio interest rate sensitivity.
Duration and Convexity Work Together
Understand that duration and convexity work together - duration estimates linear price changes while convexity measures curvature. For large yield changes, both measures are needed.
Performance Optimization for Large Portfolios
For large bond portfolios, consider using array formulas or Power Query to optimize calculation performance. Cache duration values and only recalculate when bond characteristics change.
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Example Excel formula:
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