Duration


Function Duration within
Bond with keys Bond Duration keys returns the duration(s) of the referenced bond(s) as of a given reference date
The exact duration definition must be supplied as an element of the list
Duration Type

If the settlement date is not explicitly given, it will be set to the bond's settlement date as implied by a trade transaction assumed to occur on the
trade date T₀ (typically today).

PRECAUTION: This function treats the referenced bond as if it were a fixed rate bond even if this is not the case!
All index-linked cash flows are treated as fixed cash flows that pay the amount forecasted by the corresponding curve.