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DURATION Function (LibreOffice Calc)

Financial Advanced LibreOffice Calc Introduced in LibreOffice 3.0
bonds fixed-income duration interest-rate-risk analytics coupon-schedule

The DURATION function returns the Macaulay duration of a security that pays periodic interest. It is used in fixed-income modeling, bond analytics, and interest-rate risk measurement.

Compatibility

â–¾

What the DURATION Function Does â–¾

  • Computes Macaulay duration
  • Uses settlement date, maturity date, coupon rate, and yield
  • Supports all standard day‑count conventions
  • Works with periodic coupon payments
  • Essential for fixed‑income analytics and risk modeling

Syntax â–¾ 

DURATION(settlement; maturity; coupon; yield; frequency; [basis])

Arguments

  • settlement:
    Date the bond is purchased.

  • maturity:
    Date the bond matures.

  • coupon:
    Annual coupon rate (e.g., 0.05 for 5%).

  • yield:
    Annual yield to maturity.

  • frequency:
    Number of coupon payments per year:

    • 1 = annual
    • 2 = semiannual
    • 4 = quarterly

  • basis (optional):
    Day‑count convention:

    • 0 = US 30/360
    • 1 = Actual/Actual
    • 2 = Actual/360
    • 3 = Actual/365
    • 4 = European 30/360

Basic Examples â–¾

Semiannual coupon bond

=DURATION("2026-01-01"; "2031-01-01"; 0.05; 0.04; 2)
→ Macaulay duration in years

Quarterly coupon bond with Actual/Actual

=DURATION(A1; A2; 0.06; 0.055; 4; 1)

Annual coupon bond

=DURATION(A1; A2; 0.03; 0.035; 1)

Advanced Examples â–¾

Combine with MDURATION for modified duration

=MDURATION(A1; A2; coupon; yield; frequency; basis)

Compute interest‑rate sensitivity (DV01 approximation)

=PRICE(A1; A2; coupon; yield - 0.0001; frequency; basis)
 - PRICE(A1; A2; coupon; yield + 0.0001; frequency; basis)

Use with COUPNUM to validate coupon structure

=COUPNUM(settlement; maturity; frequency; basis)

Build a full bond analytics block

Duration:      =DURATION(...)
Mod Duration:  =MDURATION(...)
Convexity:     =... (manual or custom)
Yield:         =YIELD(...)
Price:         =PRICE(...)

Use in portfolio‑weighted duration

=SUMPRODUCT(weights; durations)

Edge Cases and Behavior Details â–¾

DURATION returns a number in years

Behavior details

  • settlement < maturity
  • coupon and yield expressed as decimals
  • frequency must be 1, 2, or 4
  • basis must be 0–4
  • Uses Macaulay duration, not modified duration
  • Requires valid coupon schedule (no irregular first/last periods)

Invalid input → Err:502

Common Errors and Fixes â–¾

Err:502 — Invalid argument

Cause:

  • settlement ≥ maturity
  • frequency not 1, 2, or 4
  • basis outside 0–4
  • invalid date

Fix:

  • Validate dates
  • Use DATE() for construction
  • Ensure frequency is correct

Duration seems too low or too high

Cause:

  • Incorrect yield or coupon
  • Wrong day‑count basis
  • Irregular coupon structure

Fix:

  • Verify basis
  • Confirm coupon frequency
  • Use COUPDAYS/COUPNUM to inspect schedule

Best Practices â–¾

  • Use MDURATION when modeling price sensitivity
  • Use DURATION for theoretical Macaulay duration
  • Always specify basis for fixed‑income accuracy
  • Validate coupon schedules with COUP* functions
  • Use consistent date formats (DATE(Y;M;D))
DURATION is one of the core fixed‑income analytics functions — essential for interest‑rate risk, bond pricing, and portfolio immunization.

Related Patterns and Alternatives â–¾

  • MDURATION — modified duration
  • PRICE / YIELD — bond pricing
  • COUPDAYS / COUPNUM / COUPPCD / COUPNCD — coupon schedule
  • PV / RATE / NPER — time‑value functions
  • Custom convexity formulas — advanced analytics

By mastering DURATION, you can build professional‑grade fixed‑income models and risk analytics in LibreOffice Calc.

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