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XLeratorDLL/financial Documentation

SQL server bond duration function

Updated: 31-Mar-2016
Use the .NET function RPIDURATION to calculate the duration for a bond that pays regular periodic interest. 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 RPIDURATION function full documentation...

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