Re: qlLegDuration shows wrong number while qlLegBPS & NPV is correct

Posted by Ferdinando M. Ametrano-2 on
URL: http://quantlib.414.s1.nabble.com/qlLegDuration-shows-wrong-number-while-qlLegBPS-NPV-is-correct-tp14566p14568.html

why 2.6 doesn't make sense to you?

On Tue, Oct 8, 2013 at 8:49 PM, imachabeli <[hidden email]> wrote:

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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