yc_bond_duration: Coupon Bond Duration and Convexity

In yieldcurves: Yield Curve Fitting, Analysis, and Decomposition

Coupon Bond Duration and Convexity

Description

Compute Macaulay duration, modified duration, and convexity for a coupon-bearing bond.

Usage

yc_bond_duration(
  face = 100,
  coupon_rate,
  maturity,
  yield,
  frequency = 2,
  compounding = c("semi_annual", "annual", "continuous")
)

Arguments

face	Numeric. Face (par) value of the bond. Default is 100.
coupon_rate	Numeric. Annual coupon rate as a decimal (e.g., 0.05 for 5 percent).
maturity	Numeric. Time to maturity in years.
yield	Numeric. Yield to maturity as a decimal.
frequency	Integer. Coupon frequency per year: 1 for annual or 2 for semi-annual (default).
compounding	Character. Compounding convention: "semi_annual" (default), "annual", or "continuous".

Value

A list with components macaulay_duration, modified_duration, convexity, and price.

Examples

# 2-year 5% bond at 4% yield, semi-annual coupons
yc_bond_duration(face = 100, coupon_rate = 0.05, maturity = 2,
                 yield = 0.04, frequency = 2)

yieldcurves documentation built on March 26, 2026, 5:06 p.m.