Hello,

I am jmsl library to calculate the mduration. I am getting the same mduration value for the different Day count basis value. But when I try the same thing is excel it returns a different value. For example all three examples given below returning the same mduration value.

GregorianCalendar date1 .......

GregorianCalendar date2 .......

double coupon = 0.059;

double yield = 0.1013;

int freq = 1;

double duration = Bond.mduration(settlement, maturity, coupon,

yield, freq, DayCountBasis.BasisActualActual);

duration = Bond.mduration(settlement, maturity, coupon,

yield, freq, DayCountBasis.BasisActual360);

duration = Bond.mduration(settlement, maturity, coupon,

yield, freq, DayCountBasis.BasisActual365);

All above three calculation returns the same value. But not in excel mduration formula.

thanks

Vijay