Re: Bond duration incorrect ?

Posted by Toyin Akin on
URL: http://quantlib.414.s1.nabble.com/Bond-duration-incorrect-tp4434p4439.html

Hi,

Check out the following towards the bottom of the page...

http://www.fincad.com/support/developerfunc/mathref/lcb.htm

You could also play with the 7-day demo as well...

Toy out.

>From: Luigi Ballabio <[hidden email]>
>To: Dirk Eddelbuettel <[hidden email]>
>CC: quantlib-users <[hidden email]>
>Subject: Re: [Quantlib-users] Bond duration incorrect ?
>Date: Thu, 2 Feb 2006 16:53:41 +0100
>
>On 2/2/06, Dirk Eddelbuettel <[hidden email]> wrote:
> > Nobody followed on the most-likely-a-bug report I made -- does anybody
>have
> > access to an alternate calculator to check simple, modified and macaulay
> > duration for a few securities?  As indicated, I think what we have in
> > analysis.{cpp,hpp} is wrong.  Yet another source of documentation is at
> > Wikipedia at http://en.wikipedia.org/wiki/Bond_duration
>
>I second the request. Anybody?
>
>Luigi
>
>
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