Returns the Macauley duration for an assumed par value of $100. Duration is defined as the weighted average of the present value of cash flows, and is used as a measure of a bond price’s response to changes in yield.
The security’s settlement date. The security settlement date is the date after the issue date when the security is traded to the buyer.
The security’s maturity date. The maturity date is the date when the security expires.
The security’s annual coupon rate.
The security’s annual yield.
The number of coupon payments per year. For annual payments, frequency = 1; for semiannual, frequency = 2; for quarterly, frequency = 4.
The type of day count basis to use.
Contributors: Alberto Ferrari, Marco Russo