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$$P_z\left(r, t, T\right) = e^{-r\left(T - t\right)} \Rightarrow \partial_r P_z = -\left(T - t\right)P \Rightarrow D_{z, T} = T - t$$


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Here is the excel formula with steps: =NORMSDIST((NORMSINV(0.02)+NORMSINV(0.999)×SQRT(0.1))/SQRT(1−0.1)) =NORMSDIST((−2.054+3.09×SQRT(0.1))/SQRT(1−0.1)) =NORMSDIST(-1.135) =12.8% They keep changing the names of the function - e.g., NORMSDIST is NORM.S.DIST(-1.135,TRUE)in the recent versions, and same for NORMSINV = NORM.S.INV


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