ladg: Computes the leverage adjusted duration gap

In Nyeley/dmdl: Duration gap analysis

Description

Takes the duration of assets and the scaled duration of liabilities, subtracting the scaled duration of liabilities from the duration of assets

Usage

ladg(x, y, z, w)

Arguments

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

Value

leverage adjusted duration gap

Examples

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.