bondchange: Calculate the change in the price of a bond for change in...
In GUIDE: GUI for DErivatives in R

Description Usage Details Value Author(s) References See Also

Function to calculate change in the price of a bond for change in yield based on the duration or duration and convexity approximation.

1	bondchange()

The user inputs are as follows:
Face Value: to be entered in numbers for e.g. 1200.50
Modified Duration: percent per annum
Convexity: percent per annum
Change in yield (in basis points): clicking on "+/-" increases/decreases the yield.
Formula/Approximation: chosen between Duration/Duration and Convexity

The change in the price of a bond for change in yield based on the duration or duration and convexity approximtion.

S Subramanian <ssubramanian@sssihl.edu.in>

John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.

bondchange,bonddur

GUIDE documentation built on May 2, 2019, 9:32 a.m.