Menghitung Durasi Waktu Sekuritas


Kasus berikut ini merupakan contoh cara Menghitung Durasi Waktu Sekuritas;
Suatu surat berharga/sekuritas memiliki data sebagai berikut:
TANGGAL PENYELESAIAN SEKURITAS (SETTLEMENT) : 4/14/2005 (14 April 2005)
JATUH TEMPO SEKURITAS (MATURITY) : 4/14/2011 (14 April 2011)
KUPON TAHUNAN (COUPON) : 9%
HASI17KEUNTUNGAN YANG TAHUNAN (YIELD) : 11%
FREKUENSI PEMBAYARAN KUPON (FREQUENCY) : 2 per tahun DASAR PERHITUNGAN BUNGA (BASIS) : 2 (Actual/360)
Dari data tersebut hitunglah durasi waktu sekuritas tersebut. Penyelesaian:
Jawaban penyelesaian kasus tersebut tersimpan dalam buku kerja bab4 pada lembar kerja KASUS5 seperti terlihat pada gambar berikut:
C D E

-
3

--

PENERAPAN EXCEL PADA SURAT BERHARGA |
5
6 7


e
DURASI WAKTU SUATU SEKURITAS |
9


10 .
TANGGAL PENYELESAIAN SEKURITAS (SETTLEMENT)
14 April 2005

11
JATUH TEMPO SEKURITAS (MATURITY)
14 April 2011

12 :
KUPON TAHUNAN (COUPON)
9.00%

13
HASIUKEUNTUNGAN YANG TAHUNAN (YIELD)
11.00%

14
FREKUENSI PEMBAYARAN KUPON (FREQUENCY)
2

15
DASAR PERHITUNGAN BUNGA (BASIS) Actiwl'360
2

16
DURASI WAKTU SEKURITAS
4.70 Tahun

17


ir

Durasi waktu sekuritas (FI6) diisi dengan menggunakan fungsi DURATION dan dilakukan dengan langkah sebagai berikut:
1. Letakkan penunj uk sel pada alamat sel F16.
2. Aktifkan fungsi DURATION (lihat penjelasan sebelumnya). Perhatikan gambar berikut (nampak sebagian):

function Arguments

BtJkJ
DURATION .......


Settlement jplO
~ 38456

Maturity jFll
“ 40647
r
Coupon |fi2
"y-oo9
p
«dlF13

_J
Frequency |fm
%(~2

■* 4.698404832
Ratixre Che amual duration of a security with periode Interest payments.

j Settlement is the security's settlement date, expressed as a serial date nunfcer.
Formula resutt — 4.70 Tahcn



1...... -.........j
canci. i



3. Masukkan alamat sel sesuai dengan argumen pada masing-masing field tersebut sehingga akan nampak seperti gambar di atas.
4. Klik OK. Proses selesai.
Jika langkah Anda di atas benar maka akan menghasilkan durasi waktu sekuritas 4,70 tahun seperti nampak pada gambar di atas denganMenghitung Durasi Waktu Sekuritas.

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