US_BOND_DURATION

The US_Zero command converts a U.S. Treasury interest-rate series into a duration number.

Example

US_BOND_DURATION(DGS10,10)

This example takes the 10-year Treasury constant maturity rate, DGS10, and converts it into a bond duration.

Syntax

US_BOND_DURATION(rateSeries, maturityYears)

The first argument is an interest-rate series. The second argument is the maturity, expressed in years.

Output

For each observation, the routine treats the quoted interest rate as the yield used to calculated a bond duration.

Notes

The command is a transformation tool. It does not estimate a full yield curve. It converts a single interest-rate series into annualized duration.

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