change: Computes the aggregate change in assets or liabilities, due...

In Nyeley/dmdl2: Duration gap analysis

Description

Takes the positions of assets or liabilities together with the respective durations and yields and computes the expected overall change in the value of assets or liabilities resulting from the predicted change in interest rate level

Usage

change(x, y, z, r)

Arguments

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

Value

aggregate change in assets or liabilities

Examples

change(c(150,350,600), c(0.25, 2.5, 0.75), c(0.01, 0.035, 0.65), 0.0015)

Nyeley/dmdl2 documentation built on June 4, 2019, 5:15 p.m.