deltaE: Computes the change in equity

Description Usage Arguments Value Examples

Description

Takes the duration of assets and the duration of liabilities, applies them to the leverage adjusted duration gap computation, ultimately applies the multiplication of negative ladg and total assets and the predicted change in interest rate level

Usage

1
deltaE(x, y, z, w, r)

Arguments

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

Value

leverage adjusted duration gap

Examples

1
deltaE(c(150,350,600), c(0.25, 2.5, 0.75), c(200, 375, 120), c(0.1, 2, 0.75), -0.003)

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