Duration can be calculated using spreadsheet formulas. Data must be entered as follows:

Settlement date           Date is entered as DATE (year, month, day)

Maturity date              Date is entered as DATE (year, month, day)

Coupon as a decimal required yield as a decimal Frequency of Payments

Use the formula = DURATION (Al,A2,A3,A4,A5) for duration and = MDURATION(Al,A2, A3,A4,A5) for modified duration. Example—calculates the duration and modified duration for a 6 percent, seven-year bond with a required yield of 5 percent. This is done as follows:

2/16/2006 ………………………..     Settlement date = DATE (year, m, d)

7116/2013 ………………………..    Maturity date = DATE (year, m, d)

0.06 ………………………………    coupon rate as decimal

0.05 ………………………………    required yield as decimal

2 ………………………………….    frequency of coupons

5.86 ………………………………    Macaulay Duration

5.71 ………………………………    Modified Duration