Package-dmdl: Duration model

Description Data Functions Examples

Description

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

Data

* 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.

Functions

* 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

Examples

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))

Nyeley/dmdl documentation built on June 5, 2019, 12:40 a.m.