Hey,
I'm having problems with replicating the results of DURATION() function, when maturity date and coupon dates are inconsistent. E.g. settlement date is 2010-01-01, and the maturity date is 2013-07-01. Can someone tell me step by step how the function calculates it? Because if I assume that there are 4 payments (3 coupons and last CF is par+coupon/2), discount it, multiply by time to maturity (hence 1, 2, 3, 3.5) and sum up I obtain very different results than the ones from the function.
Regards,
p4z3m0_0
