View source: R/d05_computingModifDuration.R
modifDuration | R Documentation |
Calculates Modified Duration statistic of a traditional Fixed-Rate Bond.
modifDuration(n, ytm, coupon, maturityVal, daysCpnToSettle, daysCouponPeriod)
n |
A number. |
ytm |
A number. |
coupon |
A number. |
maturityVal |
A number. |
daysCpnToSettle |
A number. |
daysCouponPeriod |
A number |
According to information provided by Adams and Smith (2019), the method modifDuration()
is developed to calculate Modified Duration statistic of a traditional Fixed-Rate Bond.
Here, 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.
Input values to six arguments n
, ytm
, coupon
, maturityVal
, daysCpnToSettle
and daysCouponPeriod
.
MaheshP Kumar, Clare Matuka
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
modifDuration(n=10, ytm=0.104, coupon=8, maturityVal=100, daysCpnToSettle=0, daysCouponPeriod=0) modifDuration(n=8*2,ytm=0.06/2,coupon=3,maturityVal=100,daysCpnToSettle=57,daysCouponPeriod=180)
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