Description Usage Arguments Value Examples
Takes the duration of assets and the scaled duration of liabilities, subtracting the scaled duration of liabilities from the duration of assets
1 | ladg(x, y, z, w)
|
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 |
leverage adjusted duration gap
1 |
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