Collateralized mortgage obligation - calculate duration and modified duration
Introduced in release: 1.0 Component: US MBS Purpose:
Calculates actual Macaulay duration and modified duration for a collateralized mortgage obligation. It uses the cash flows and times to cash flow from settlement date as input
Results:
The result is returned as the value of the function 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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