differenceE: Computes the change in equity

In Nyeley/dmdl: Duration gap analysis

Description

Takes the aggregare changes in assets and liabilities, subtracting liabilities from assets, returning the change in equity. Note: used when the predicted change in interest level for assets and liabilities asre different. (spread > 0)

Usage

differenceE(x, y, z, r1, h, i, j, r2)

Arguments

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

Value

The change in equity

Examples

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)

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