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XLeratorDLL/financial Documentation

.NET duration function for stepped-coupon bonds


STEPDURATION
Updated: 31-Mar-2016
Use the .NET function STEPDURATION to calculate the duration for a stepped-coupon bond. 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 STEPDURATION function full documentation...


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