WebCab Bonds for COM v2.01

DurationConvexity.Duration Method (DateTime, DateTime, Double, Double, Int32, Int32)

Evaluates the duration of the bond.

public double Duration(
   DateTime settlementDate,
   DateTime maturityDate,
   double coupon,
   double yield,
   int frequency,
   int basis
);

Parameters

settlementDate
maturityDate
coupon: The security's annual coupon rate.
yield: The security's annual yield.
frequency: The number of coupon payments per year. This can be 1, 2, 3, 4, 6, 12.
basis: The day count convention used where 0 is 30/360, 1 is Actual/Actual.

See Also

DurationConvexity Class | WebCab.COM.Finance.Bonds Namespace | DurationConvexity.Duration Overload List