Apple iWork '09 - Manual (Page 103)

Chapter 6 Financial Functions 103
BONDDURATION
The BONDDURATION function returns the weighted average of the present value of
the cash flows for an assumed par value of $100.
BONDDURATION(settle, maturity, annual-rate, annual-yield, frequency, days-basis)
 settle: The trade settlement date. settle is a date/time value. The trade settlement
date is usually one or more days after the trade date.
 maturity: The date when the security matures. maturity is a date/time value. It must
be after settle.
 annual-rate: The annual coupon rate or stated annual interest rate of the security.
annual-rate is a number value and is either entered as a decimal (for example, 0.08)
or with a percent sign (for example, 8%).
 annual-yield: The annual yield of the security. annual-yield is a number value and is
either entered as a decimal (for example, 0.08) or with a percent sign (for example, 8%).
 frequency: The number of coupon payments each year.
annual (1): One payment per year.
semiannual (2): Two payments per year.
quarterly (4): Four payments per year.
 days-basis: An optional argument specifying the number of days per month and
days per year used in the calculations.
30/360 (0 or omitted): 30 days in a month, 360 days in a year, using the NASD
method for dates falling on the 31st of a month.
actual/actual (1): Actual days in each month, actual days in each year.
actual/360 (2): Actual days in each month, 360 days in a year.
actual/365 (3): Actual days in each month, 365 days in a year.
30E/360 (4): 30 days in a month, 360 days in a year, using the European method for
dates falling on the 31st of a month (European 30/360).
Usage Notes
This function returns a value known as the Macauley duration. Â
Example
Assume you are considering the purchase of a hypothetical security. The purchase will settle April 2,
2010 and the maturity will mature on December 31, 2015. The coupon rate is 5%, resulting in a yield
of approximately 5.284% (the yield was calculated using the YIELD function). The bond pays interest
quarterly, based on actual days.
=BONDDURATION(“4/2/2010”, “12/31/2015”, 0.05, 0.05284, 4, 1) returns approximately 5.0208, the
present value of the future cash flows (the bond duration), based on the Macauley duration. The cash
flows consist of the price paid, interest received, and principal received at maturity.