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XLeratorDLL/financial Documentation

.NET duration function for odd first coupon bonds

Updated: 31-Mar-2016
Use the .NET function OFCDURATION to calculate the duration for a bond that has an odd first coupon. The duration is calculated as the first derivative of the price of the bond with respect to yield multiplied by -1, divided by the dirty price of the bond multiplied by 1 plus the yield divided by the frequency.

View .Net OFCDURATION function full documentation...

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