Computes Duration and Modified Duration for cash flows with different cash flow and compounding conventions. Cash flows need not be evenly spaced.
1 2 3 4 5 6 7 8 9 10 |
cf |
Vector of cash flows |
rate |
The interest rate in decimal (0.10 or 10e-2 for 10%) |
cf.freq |
Frequency of annuity payments: 1 for annual, 2 for semi-annual, 12 for monthly. |
comp.freq |
Frequency of compounding of interest rates: 1 for annual, 2 for semi-annual, 12 for monthly, Inf for continuous compounding. |
cf.t |
Optional vector of timing (in years) of cash flows. If omitted regular sequence of years is assumed. |
immediate.start |
Logical variable which is |
modified |
in function duration, |
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