IBM Algo Financial Modeler evaluates this using the following logic: Suppose, for example, you specified the formula:ĭuration(#, #, "Years", "One", "Exact") (This is because all dates in IBM Algo Financial Modeler are stored as integers, from an earliest recognized date of held internally as 1, incrementing by 1 for each day up to a latest recognized date of. You can use the Duration function to calculate durations that are accurate to individual days, if required, according to what arguments you pass to the function call. The Duration function is one of the most heavily used functions in IBM Algo Financial Modeler, being applied typically to calculate ages and step lengths. This article briefly illustrates certain aspects of the IBM Algo Financial Modeler Duration function to address the above issues. Why is it that, in some circumstances, the sum of the step lengths over a calendar year does not exactly equal one year?.What formulae should be used to calculate projection step lengths?.
Particular questions often arise regarding the calculation of durations between two specified dates, including: Such calculations, and the date functions provided in IBM Algo Financial Modeler, all make use of the IBM Algo Financial Modeler internal date software. All IBM Algo Financial Modeler models make use of dates including, for example, specification of the portfolio date, the calculation of durations and determining the dates of projection step boundaries.
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