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*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.