barbell_weights: Calculate the weights of a duration matched barbell hedging...
In DavisVaughan/ratekit: A set of interest rate helpers
Description
Usage
Arguments
Details
Value
Description
Using the duration of a bullet and the durations of two assets, this function
calculates the weighting necessary to hedge the risk in the bullet, assuming
a flat yield curve. The durations can be Modified or Macaulay.
Usage
1
barbell_weights(duration_bullet, duration_asset_1, duration_asset_2)
Arguments
duration_bullet
The bullet duration
duration_asset_1
The first hedging asset's duration
duration_asset_2
The second hedging asset's duration
Details
Only the weight of asset_1 is returned so that this function can be called
easily from a dplyr workflow.
Value
The weight of asset_1. The weight of asset_2 is simply (1 - weight_asset_1).
DavisVaughan/ratekit documentation built on May 5, 2019, 8:14 a.m.
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Description Usage Arguments Details Value
Description
Using the duration of a bullet and the durations of two assets, this function calculates the weighting necessary to hedge the risk in the bullet, assuming a flat yield curve. The durations can be Modified or Macaulay.
Usage
1 | barbell_weights(duration_bullet, duration_asset_1, duration_asset_2)
|
Arguments
duration_bullet |
The bullet duration |
duration_asset_1 |
The first hedging asset's duration |
duration_asset_2 |
The second hedging asset's duration |
Details
Only the weight of asset_1 is returned so that this function can be called
easily from a dplyr workflow.
Value
The weight of asset_1. The weight of asset_2 is simply (1 - weight_asset_1).
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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