Description Data Functions Examples
This package is a tool for economists to measure and observe the interest rate risk on the net worth of a financial intermediary. The dmdl package provides five functions to compute the most important components in the duration model: change in assets and/or liabilities position, overall change in equity position, duration of assets and/or liabilities, and the leverage adjusted duration gap
* Assets: Data set containg three numerical columns, value, duration, and yield of consolidated balance sheet assets. The data set is used in the examples provided in the vignette.
* Liabilities: A data set containg three numerical columns from the consolidated balance sheet liabilities values, liabilities durations, and liabilities yields.
* change: Computes the aggregate change in assets or liabilities, due to a respective predicted change in interest rate level
usage: change(x, y, z, r)
parameters: x = Vector containing asset or liabilities positions in asset or liability portfolio
y = Vector containing duration of asset or liabilities in asset or liability portfolio
z = Vector containing the yield of the asset or liabilities in asset or liability portfolio
r = The predicted change in ineterst rate level
* deltaE: Computes the change in equity when ineterest rate spread > 0
usage: deltaE(x, y, z, w, r)
parameters: x = Vector containing asset positions in asset portfolio
y = Vector containing durations of assets from the asset portfolio
z = Vector containing liability positions from the liabilities portfolio
w = Vector containing duration of liabilities from the liabilities portfolio
r = The predicted change in interest rate level across both assets and liabilities
* differenceE: Computes the change in equity, subtracting aggr. change of liabilities from aggr. change of assets
usage: differenceE(x, y, z, r1, h, i, j, r2)
parameters: x = Vector containing asset positions from asset portfolio
y = Vector containing duration of assets from the asset portfolio
z = Vector containing asset yields from the asset portfolio
r1 = The predicted change in interest rate level for assets
h = Vector containing values of liabilities from the liabilities portfolio
i = Vector containing duration of liabilities from the liabilities portfolio
j = Vector containing the yields of liabilities from the liabilities portfolio
r2 = The predicted change in interest rate level for liabilities
* duration: Computes the duration of assets or liabilities
usage: duration(x, y)
parameters: x = Vector containing asset or liabilities positions in liability or asset portfolio
y = Vector containing duration of asset or liabilities in liability or asset portfolio
* ladg: Computes the leverage adjusted duration gap
usage: ladg(x, y, z, w)
parameters: x = Vector containing asset positions from the asset portfolio
y = Vector containing duration of assets from the asset portfolio
z = Vector containing liability positions from the liabilities portfolio
w = Vector containing duration of liabilities from the liabilities portfolio
1 2 3 4 5 6 7 8 9 | change(c(150,350,600), c(0.25, 2.5, 0.75), c(0.01, 0.035, 0.65), 0.0015)
deltaE(c(150,350,600), c(0.25, 2.5, 0.75), c(200, 375, 120), c(0.1, 2, 0.75), -0.003)
differenceE(c(150,350,600), c(0.25,2.5,0.75), c(3,0.45,0.6),0.0015, c(200,375,120), c(0.1,2,0.75),c(2,1.2,0.35),0.0025)
duration(c(150,350,600), c(0.25, 2.5, 0.75))
ladg(c(150,350,600), c(0.25, 2.5, 0.75), c(200, 375, 120), c(0.1, 2, 0.75))
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