duration: Computes the duration of assets or liabilities

Description Usage Arguments Value Examples

Description

Takes the positions of assets or liabilities, computes their porportions relative to the total liability portfolio or asset portfolio, and returns the aggregate duration.

Usage

1
duration(x, y)

Arguments

x

Vector containing asset or liabilities positions in liability or asset portfolio

y

Vector containing duration of asset or liabilities in liability or asset portfolio

Value

aggregate duration of assets or liabilities

Examples

1
duration(c(150,350,600), c(0.25, 2.5, 0.75))

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