You can use the DURATION function to calculate the Macauley duration for an assumed parity value of 100 monetary units.

The Macauley duration is the weighted average maturity of cash flows. That is, the weighted average distance to payment. It's used to measure a bond price's response to changes in yield. A higher Macauley duration value indicates a riskier investment.

DURATION(Settlement, Maturity, Rate, Yield, Frequency [, Basis])

 Argument Data type Description Settlement (required) Date The bond settlement date: The date the bond is traded to the buyer. Maturity (required) Date The bond maturity date: The date when the bond expires. Rate (required) Number The bond annual coupon date. Yield (required) Number The bond annual yield. Frequency (required) Number The number of coupon payments per year. Enter: 1 for annual 2 for semi-annual 4 for quarterly Basis Number The basis determines how many days exist in a year. A full year has: 360 days when basis US (NASD) 30/360, Actual/360, and EUR 30/360 are used 365 days when basis Actual/365 is used 365 or 366 days when Actual/Actual is used US 30/360 is the default basis for COUPDAYS. It can also be specified by entering 0. To use a different type of day count basis, enter: 1 for Actual/Actual 2 for Actual/360 3 for Actual/365 4 for European 30/360 Learn about the conventions used to calculate the day count for basis.

The DURATION function returns a number.

The Macauley duration is calculated with the following formula:

$Duration = \frac { \sum_{t=1}^{T} \frac {tC} {(1+y)^{t}} + \frac{TF}{(1+t)^{T}} } { P }$

Where:

• C is coupon
• y is yield
• F is face value
• P is price, inclusive of accrued interest
• T is number of periods
• The settlement and maturity dates must be valid dates between 01/01/1900 and 12/31/2399.
• The maturity date must be later than the settlement date.
• The rate and yield must be positive or zero.
• The frequency must be either 1 (annual), 2 (semi-annual), or 4 (quarterly).
• The basis, when specified, must be either 0 (US 30/360), 1 (Actual/Actual), 2 (Actual/360), 3 (Actual/365), or 4 (EUR 30/360).

DURATION

This example shows a Macauley duration calculation that specifies a basis.

 Formula Description Result DURATION(DATE(2018, 1, 15), DATE(2021, 1, 15), 0.12, 0.1, 1, 4) The example has a: settlement date of 01/15/2015 maturity date of 01/15/2018 rate of 0.12 (12%) yield of 0.1 (10%) frequency of 1 (annual) basis of 4 (European 30/360) 2.6976811

This example shows a Macauley duration calculation that does not specify a basis. As a result, the basis defaults to US 30/360.

 Formula Description Result DURATION(DATE(2018, 1, 15), DATE(2021, 1, 15), 0.12, 0.1, 4) The example has a: settlement date of 01/15/2018 maturity date of 01/15/2021 rate of 0.12 (12%) yield of 0.1 (10%) frequency of 4 (quarterly) 2.5760086