BondEffectiveConvexity: A function to compute effective convexity

In glennmschultz/BondLab: BondLab is a package for the analysis of fixed-income securities

Description

Calculates effective convexity based on a discount vector (zero coupon) cashflow vector, and rate delta

Usage

BondEffectiveConvexity(
  Rate.Delta = numeric(),
  cashflow = vector(),
  discount.rates = vector(),
  time.period = vector()
)

Arguments

Rate.Delta	A numeric value the interest rate shift in basis points
cashflow	A numeric vector of cashflow
discount.rates	A numeric vector of the up discount rates
time.period	A numeric vector of the down discount rates

glennmschultz/BondLab documentation built on May 11, 2021, 5:29 p.m.