http://quantlib.414.s1.nabble.com/qlLegDuration-shows-wrong-number-while-qlLegBPS-NPV-is-correct-tp14566p14573.html
looking for. From the Addin there seem no way to get such a list of keys
directly. For the BlackSwaptionEngine we have e.g.
> Where can I find list of supported keywords for qlInstrumentResults for
> Swaption (=qlInstrumentResults(C78,"vega",Triggers)/100 )
> vega worked but other obvious candidates like delta, gamma, theta
> produce error like qlInstrumentResults delta not provided.
>
> I dig into instruments.xml but no go from there, binding looks beyond my
> understanding of QuantlibXL
>
> On 10/9/2013 9:02 AM, Luigi Ballabio wrote:
>> In C++ you can make a copy of the leg and add the notional payment
>> manually; I'm not sure you can do it from Excel without modifying the
>> swap class and recompiling.
>>
>> Duration of the floating leg is a cashflow duration as you guessed.
>>
>> Luigi
>>
>>
>> On Wed, Oct 9, 2013 at 2:54 PM, Irakli Machabeli
>> <
[hidden email]> wrote:
>>> 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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