bondDuration

bondDuration(settlement, maturity, coupon, yield, [frequency], [basis=1], [bondType=0])

settlement is a scalar or vector of DATE type, indicating the marketable security's settlement date. The settlement date is the date after the issue date when the security is traded to the buyer.

maturity is a scalar or vector of DATE type of the same length as settlement, indicating the marketable security's maturity date. The maturity date is the date when the security expires.

coupon is a numeric scalar or vector indicating the annual coupon rate of the marketable security.

yield is a numeric scalar or vector indicating the annual yield of the marketable security.

frequency (optional) is an integer or a vector of integers indicating the number of coupon payments per year. This parameter is required when bondTypeis 0 or unspecified. It can be:

• 1: Annual payments

• 2: Semi-annual payments

• 4: Quarterly payments

• 12: Monthly payments

basis (optional) is an integer or a vector of integers indicating the day count basis to use. It can be:

• 0: US (NASD) 30/360
• 1 (default): actual/actual
• 2: actual/360
• 3: actual/365
• 4: European 30/360

bondType (optional) is an integral scalar or vector indicating the bond type. It can be:

• 0 (default): Fixed-rate bond, where interest is paid periodically (quarterly, semi-annually, or annually) based on the coupon rate.

• 1: Discount bond, where no interest is paid, and the bond is issued at a discount. FV at maturity = face value.

• 2: Zero-coupon bond, where interest and face value are paid at maturity. FV at maturity = face value + interest.

Note: Scalar inputs will be automatically expanded to match the length of other vector inputs. All vector inputs must be of equal length.

bondDuration returns the Macaulay duration for an assumed par value of 100. Duration is defined as the weighted average of the present value of cash flows, and serves as a measure of a bond price's response to changes in yield.

Return type: Scalar or vector of type DOUBLE.

Calculate the duration of a bond purchased on January 1, 2023, with maturity on December 31, 2030. The bond has an annual coupon rate of 0.05, an expected yield of 0.06, an annual interest payment frequency, and uses the actual/actual day count basis.

bondDuration(settlement=2023.01.01, maturity=2030.12.31, coupon=0.05, yield=0.06, frequency=1, basis=1)
// output
6.737695071685634