# duration: Duration and Modified Duration In jrvFinance: Basic Finance; NPV/IRR/Annuities/Bond-Pricing; Black Scholes

## Description

Computes Duration and Modified Duration for cash flows with different cash flow and compounding conventions. Cash flows need not be evenly spaced.

## Usage

 ``` 1 2 3 4 5 6 7 8 9 10``` ```duration( cf, rate, cf.freq = 1, comp.freq = 1, cf.t = seq(from = ifelse(immediate.start, 0, 1/cf.freq), by = 1/cf.freq, along.with = cf), immediate.start = FALSE, modified = FALSE ) ```

## Arguments

 `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 `TRUE` when the first cash flows is at the beginning of the first period (for example, immediate annuities) and `FALSE` when the first cash flows is at the end of the first period (for example, deferred annuities) `modified` in function duration, `TRUE` if modified duration is desired. `FALSE` otherwise.

jrvFinance documentation built on Nov. 5, 2021, 5:07 p.m.