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In the same spreadsheet for the same vanilla ATM 5Y usd swap I'm computing duration and BPS,NPV
While bps shows 485(correct value for ATM 5Y)
=qlLegBPS(FixedLeg,TermStructure,IncludeSettlementDateFlows,SettlementDate)
NPV is close to 0 , also ok
duration produced by formula is 2.6 does not make sense to me
=qlLegDuration(FixedLeg,FixedLegRate,FixedLegDayCounter,"Simple","Semiannual","Modified",IncludeSettlementDateFlows,SettlementDate,SettlementDate)
Does this formula really calculates duration?
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