1260

I seek a confirmation of your response to question nb. 970:"EIOPA highlights that the duration requested in S.06.02.C0360 is not the duration in years but the 'modified duration' expressed in %." I see an inconsistency here because in teh standard formula there is modified duration expressed in years used and in the annotated templates Metric=Decimal for C0360. Furthermore, I seek a confirmation whether for variable interest bonds we should calculate duration according to  Article 176, par. 2 of Delegated Regulation (EU) 2015/35 and if yes, what is meant by "forward interest rate"? Is it risk-free forward interets rate derived from risk-free curve ?