yc_duration: Duration and Convexity

In yieldcurves: Yield Curve Fitting, Analysis, and Decomposition

Duration and Convexity

Description

Compute Macaulay duration, modified duration, and convexity for zero-coupon bonds at each maturity on the curve.

Usage

yc_duration(
  curve,
  maturities = NULL,
  compounding = c("continuous", "annual", "semi_annual")
)

Arguments

curve	A yc_curve object.
maturities	Optional numeric vector of maturities. If NULL, uses the curve's own maturities.
compounding	Character. Compounding convention: "continuous" (default), "annual", or "semi_annual".

Value

A data frame with columns maturity, macaulay_duration, modified_duration, and convexity.

Examples

maturities <- c(0.25, 1, 2, 5, 10, 30)
rates <- c(0.050, 0.048, 0.045, 0.042, 0.040, 0.043)
fit <- yc_nelson_siegel(maturities, rates)
yc_duration(fit)

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