effDurtnCallableBond: Calculates the Effective Duration statistic of a Callable...

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

Calculates the Effective Duration statistic of a Callable Bond.

Description

Calculates the Effective Duration statistic of a Callable Bond.

Usage

effDurtnCallableBond(pvBase, pvPlus, pvMinus, perChangeBenchYtm)

Arguments

pvBase	A number.
pvPlus	A number.
pvMinus	A number.
perChangeBenchYtm	A number.

Details

According to information provided by Adams and Smith (2019), the method effDurtnCallableBond() is developed to calculate the Effective Duration statistic of a Callable Bond.

Value

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

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

effDurtnCallableBond(pvBase=101.060489,pvPlus=99.050120,pvMinus=102.890738,perChangeBenchYtm=0.0025)

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