mod_duration | R Documentation |
Calculate the modified duration of a bond
mod_duration(yields, maturity, format_out = "xts")
yields |
a series of yields |
maturity |
constant bond maturity in years |
format_out |
xts or tibble |
This function is normally used in combination with total_return() to compute bond total returns.
The modified duration is the interest rate sensitivity of the price of bond.
duration = \frac{1}{y_t}{z_t}^{2M}
with
z_t = 1+\frac{y_t}{2}
M
is the maturity in years (e.g. 10), y_t
is the yield at time t
.
A series of modified duration
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