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Calculate Duration with UDF
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''. |
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