PerpetualPreferredCalculatorcalculateEstimatedModifiedDuration(Double, Double, Double) Method

Calculate an estimated modified duration.

Definition

Namespace: com.ftlabs.fisa.calc
Assembly: FISA.NET (in FISA.NET.dll) Version: 1.16.0.13 (1.16.0.13)

C#

public override double calculateEstimatedModifiedDuration(
	double pv1b,
	double price,
	double yield
)

VB

Public Overrides Function calculateEstimatedModifiedDuration ( 
	pv1b As Double,
	price As Double,
	yield As Double
) As Double

pv1b Double: The average price value obtained by varying the yield up and down one basis point, as returned by the calculatePriceValue1BP method.
price Double: the price.
yield Double: the yield.

Double
an estimated modified duration.

This is usually faster than the actual modified duration method.