modifDurationUsingMacDuration: Calculates Modified Duration using the Macaulay Duration and...
In bondAnalyst: Methods for Fixed-Income Valuation, Risk and Return
View source: R/d05b_computingModifDurationUsingMacDuration.R
modifDurationUsingMacDuration R Documentation
Calculates Modified Duration using the Macaulay Duration and Yield-To-Maturity.
Description
Calculates Modified Duration using the Macaulay Duration and Yield-To-Maturity.
Usage
modifDurationUsingMacDuration(macDuration, ytm)
Arguments
macDuration
A number.
ytm
A number.
Details
According to information provided by Adams and Smith (2019), the method modifDurationUsingMacDuration() is developed to calculate Modified Duration using the Macaulay Duration and Yield-To-Maturity.
Value
Input values to two arguments macDuration and ytm.
Author(s)
MaheshP Kumar, maheshparamjitkumar@gmail.com
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
modifDurationUsingMacDuration(macDuration=12.6213,ytm=0.06/2)
modifDurationUsingMacDuration(macDuration=7.0029,ytm=0.104)
bondAnalyst documentation built on Aug. 13, 2022, 5:05 p.m.
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View source: R/d05b_computingModifDurationUsingMacDuration.R
| modifDurationUsingMacDuration | R Documentation |
Calculates Modified Duration using the Macaulay Duration and Yield-To-Maturity.
Description
Calculates Modified Duration using the Macaulay Duration and Yield-To-Maturity.
Usage
modifDurationUsingMacDuration(macDuration, ytm)
Arguments
macDuration |
A number. |
ytm |
A number. |
Details
According to information provided by Adams and Smith (2019), the method modifDurationUsingMacDuration() is developed to calculate Modified Duration using the Macaulay Duration and Yield-To-Maturity.
Value
Input values to two arguments macDuration and ytm.
Author(s)
MaheshP Kumar, maheshparamjitkumar@gmail.com
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
modifDurationUsingMacDuration(macDuration=12.6213,ytm=0.06/2) modifDurationUsingMacDuration(macDuration=7.0029,ytm=0.104)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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