I just developed a simple duration function:
Function Dur(PDown, PUp, P, DelY)
Dur = (PDown - PUp) / (2 * P * DelY)
End Function

This is based on the sample he
http://thismatter.com/money/bonds/du...-convexity.htm

My duration function is giving a result about 6.96% different than the Excel
built in duration function. I cant figure out why mine is wrong. Can
someone please tell me.

My assumptions:
P-Down = $1,035.94
P-Up = $965.68
P = 1000
Delta-Y = 0.005

Excel Assumptions:
Bond Settlement = 01/02/2000
Bond Maturity = 01/02/2010
YTM = 7%

I'm just playing around with my own UDF, that's all this is...

Thanks,
Ryan---


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Ryan---
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