DUR

DUR

Returns the modified duration for an enumerated cashflow

Category: Financial

Syntax

DUR(y,f,c(1), ... ,c(k))

y

the effective per-period yield-to-maturity, expressed as a fraction.

Range:

y > 0

f

the frequency of cashflows per period.

Range:

f > 0

c(1), ... ,c(k)

a list of cashflows.

The DUR function returns the value

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where

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d=dur(1/20,1,.33,.44,.55,.49,.50,.22,.4,.8,.01,.36,.2,.4);

The value returned is 5.28402.