annual-yield: A number value representing the annual yield of the security. annual-yield must be greater than 0, and is entered as a decimal (for example, 0.08) or with a percent sign (for example, 8%).
frequency: A European method for dates falling on the 31st of a month.
This function returns a value known as the Macaulay duration. It is a measure of the weighted average maturity of cash flows, often referred to as the duration of a bond. It uses the bond’s yield to maturity to calculate the discount factors.
The currency shown in this function result depends on your Language & Region settings (in System Preferences in macOS 12 and earlier, System Settings in macOS 13 and later, and Settings in iOS and iPadOS).
Example
Suppose you are considering the purchase of a hypothetical security. The purchase will settle April 2, 2010 (settle) and will mature on December 31, 2015 (maturity). The coupon rate is 5% (annual-rate). The stated yield is 5.284% (annual-yield). The bond pays interest quarterly (frequency) based on actual calendar days (days-basis).
=BONDDURATION("4/2/2010", "12/31/2015", 0.05, 0.05284, 4,1 ) returns approximately 5.02084875998691, the weighted average maturity of cash flows (the bond duration) in years. The cash flows consist of interest received during the life of the security and principal received at maturity. The maturity is approximately 5.75 years in the future and the principal received at maturity is much larger than the interest cash flows, so the duration is only approximately 9 months shorter than time to maturity.