macDurationOnFP: Calculates Macaulay Duration using the Full Price of the Bond...

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

Calculates Macaulay Duration using the Full Price of the Bond and Yield-To-Maturity.

Description

Calculates Macaulay Duration using the Full Price of the Bond and Yield-To-Maturity.

Usage

macDurationOnFP(fp, n, ytm, cpn, mv, daysCpnToSettle, daysCouponPeriod)

Arguments

fp	A number.
n	A number.
ytm	A number.
cpn	A number.
mv	A number.
daysCpnToSettle	A number.
daysCouponPeriod	A number

Details

According to information provided by Adams and Smith (2019), the method macDurationOnFP() is developed to calculate Macaulay Duration using the Full Price of the Bond and Yield-To-Maturity. Here, fp is Full Price of the bond, n is number of periods, ytm is yield-to-maturity, coupon is dollar value of the coupon payment, maturityVal is maturity Value, daysCpnToSettle is the number of days from the last coupon payment to the settlement date, and daysCouponPeriod is the number of days in the coupon period.

Value

Input values to seven arguments fp , n , ytm, cpn, mv, daysCpnToSettle and daysCouponPeriod.

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

macDurationOnFP(fp=100.9404,n=8*2,ytm=0.06/2,cpn=3,mv=100,daysCpnToSettle=57,daysCouponPeriod=180)
macDurationOnFP(fp=85.5031,n=10, ytm=0.104, cpn=8, mv=100,daysCpnToSettle=0,daysCouponPeriod=0)

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