Calculate duration and modified duration from a given set of cash flows
Introduced in release: 1.0 Component: Generic Purpose:
Calculates actual Macaulay duration and modified duration from a given set of cash flows and corresponding dates. The compounding frequency can be specified independently from the cash flow dates. Compounding is done in terms of number of periods (whole and fractional) from the settlement date to the cash flow date.
Results:
All results are calculated using the industry standard rules or generally accepted practices. The variable dur contains the calculated duration. The variable mod_dur contains the modified duration. The results are accurate to as many places as supported by a double precision value.
Error Conditions:
Returned values should be ignored for a non-zero status. See Errors.
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