approxModifDuration: Calculates the Approximate Modified Duration.

In bondAnalyst: Methods for Fixed-Income Valuation, Risk and Return

Calculates the Approximate Modified Duration.

Description

Calculates the Approximate Modified Duration.

Usage

approxModifDuration(pvBase, pvPlus, pvMinus, percentChangeYtm)

Arguments

pvBase	A number.
pvPlus	A number.
pvMinus	A number.
percentChangeYtm	A number.

Details

According to information provided by Adams and Smith (2019), the method approxModifDuration() is developed to calculate the Approximate Modified Duration.

Value

Input values to four arguments pvBase,pvPlus ,pvMinus and percentChangeYtm.

Author(s)

MaheshP Kumar, [e-mail]

References

Adams,J.F. & Smith,D.J.(2019). Understanding Fixed‑Income Risk and Return. In CFA Program Curriculum 2020 Level I Volumes 1-6. (Vol. 5, pp. 237-299). Wiley Professional Development (P&T). ISBN 9781119593577, https://bookshelf.vitalsource.com/books/9781119593577

Examples

approxModifDuration(pvBase=99.956780,pvPlus=100.631781,pvMinus=101.250227,percentChangeYtm=0.0005)
approxModifDuration (pvBase=42.223649,pvPlus=42.100694,pvMinus=42.346969,percentChangeYtm=0.0001)

bondAnalyst documentation built on Aug. 13, 2022, 5:05 p.m.