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Bond__Duration_Type

Duration Type refers to List of the possible Duration definitions.
Available Duration Type types:
Macaulay
The Macaulay duration D of a stream of cash flows is defined as follows:
D = (1+y/f)D'
where y is the given yield, f is the cash flow frequency, i.e. the number of cash flows per year and D' is the modified duration described in
Bond::Duration Type::Modified
Modified
The modified duration D of a stream of cash flows is defined as follows:
D = -(1/P)(dP/dy)
where P is the Present Value (i.e. discounted value) of all cash flows as calculated by a given yield and
y is the given yield.
Simple
The simple duration D of a stream of cash flows indexed by i and paid at times T(i) is defined as the weighted sum of those times:
D = Σ{ Τ(i)w(i) }
where the weights w(i) are given by:
w(i) = P(i)/Σ{P(i)}
where P(i) is the Present Value (i.e. discounted value) of the ith cash flow as calculated by a given yield.