http://quantlib.414.s1.nabble.com/qlLegDuration-shows-wrong-number-while-qlLegBPS-NPV-is-correct-tp14566p14570.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?
>>
>>
>>
>> --
>> View this message in context:
>>
http://quantlib.10058.n7.nabble.com/qlLegDuration-shows-wrong-number-while-qlLegBPS-NPV-is-correct-tp14566.html>> Sent from the quantlib-users mailing list archive at Nabble.com.
>>
>>
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