yield.dollar: Dollar Weighted Yield

In FinancialMath: Financial Mathematics for Actuaries

Description

Calculates the dollar weighted yield.

Usage

yield.dollar(cf, times, start, end, endtime)

Arguments

cf	vector of cash flows
times	vector of times for when cash flows occur
start	beginning balance
end	ending balance
endtime	end time of comparison

Details

I=end-start-∑_{k=1}^ncf_k

i^{dw}=\frac{I}{start*endtime-∑_{k=1}^ncf_k*(endtime-times_k)}

Value

The dollar weighted yield.

Note

Time of comparison (endtime) must be larger than any number in vector of cash flow times.

Length of cashflow vector and times vector must be equal.

See Also

yield.time

Examples

yield.dollar(cf=c(20,10,50),times=c(.25,.5,.75),start=100,end=175,endtime=1)

yield.dollar(cf=c(500,-1000),times=c(3/12,18/12),start=25200,end=25900,endtime=21/12)

FinancialMath documentation built on May 1, 2019, 11:16 p.m.