Description Usage Details Value Author(s) References See Also

Function to calculate the duration of a bond.

1 | ```
bonddur()
``` |

The user inputs are as follows:

Face Value: to be entered in numbers for e.g. 1200.50

Coupon rate: percent per annum

Discount rate: percent per annum

Maturity: number of years

Note: Clicking on the '+' and '-' respectively increases and decreases the value.

Coupon Payments: chosen amongst Quarterly/Semi-annual/Annual

Frequency of rates: chosen amongst continuous/same as coupon/annual

Duration formula: chosen between Macaulay and Modified

Duration of a bond.

S Subramanian <ssubramanian@sssihl.edu.in>

John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.

GUIDE documentation built on May 29, 2017, 5:29 p.m.

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