Description Usage Arguments Value
Calculates the Duration of a Bond with the maturity date, calculation date, coupon rate and YTM of the Bond
1 | ModifiedDuration(mat, day, tcoupn, sobretasa, yield, period = 182)
|
mat |
is the maturity date of the Bond |
day |
is the day in which the price is calculated |
tcoupn |
is the coupon rate of the bond (annualized) |
sobretasa |
is the spread of the coupon. |
yield |
is the Yield to Maturity of the Bond |
period |
is the time for every coupon payment |
the Modified Duration of the Bond
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