I think it was off just a bit because I was calculating duration using two
slightly different methods. I'm trying this UDF now:
Function Dur(CF, t, i, n, M, C)
't = time to maturity
'C = cash flow
'i = required yield
'n = number of cash flows
'M = maturity (par) value
'P = bond price

Dur = ((CF * t) / (1 + i) ^ t) + ((n * M) / (1 + i) ^ n) / C * ((1 - (1
/ ((1 + i) ^ n))) / i) + M / (1 + i) ^ n

End Function

It's based on the function he
http://www.investopedia.com/universi...ancedbond5.asp

I'm getting some REALLY crazy results now!!

--
Ryan---
If this information was helpful, please indicate this by clicking ''Yes''.


"ryguy7272" wrote:

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---


--
Ryan---
If this information was helpful, please indicate this by clicking ''Yes''.