Description:
The external library function (See External Library Guide) equals the Excel DURATION function.
Syntax:
Fduration (settlement,maturity;coupon,yld)
Note:
The function returns the modified duration of a security that pays periodic interest with an assumed par value of ￥100. The duration is the weighted average of the present value of the cash flows and is used to measure the sensitivity of the price of the security to the interest rates. Annually. The day count basis method is US (NASD) 30/360.
Parameter:
|
settlement |
The security's settlement date |
|
maturity |
The security's maturity date |
|
coupon |
The security's annual coupon rate |
|
yld |
The security's annual yield |
Option：
|
@2 |
Semi-annually. It corresponds to the Excel frequency parameter |
|
@4 |
Quarterly. It corresponds to the Excel frequency parameter |
|
@1 |
Specify the day count basis method Actual/Actual. It corresponds to the Excel basis parameter |
|
@0 |
Specify the day count basis method Actual/360. It corresponds to the Excel basis parameter |
|
@5 |
Specify the day count basis method Actual/365. It corresponds to the Excel basis parameter |
|
@e |
Specify the day count basis method European 30/360. It corresponds to the Excel basis parameter |
Example:
|
Fduration@21(date("2008-1-1"),date("2016-1-1"),0.08,0.09) |
5.993774955545178 |