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

Posted by imachabeli on
URL: http://quantlib.414.s1.nabble.com/qlLegDuration-shows-wrong-number-while-qlLegBPS-NPV-is-correct-tp14566p14569.html

Ok. I see whats going on , the final payment of notional is not included in the leg. Is there a way to include notional payment in the both fixed and floating legs?
What does Duration of leg 2(floating leg) calculates? it returns something like 3.56  is it just a cashflow duration i.e. cash flow is kept constant(instead of adjusting for the rate shock) when rate shock is applied ?

On 10/9/2013 5:05 AM, Ferdinando M. Ametrano wrote:

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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