BondEffectiveDuration: A function to compute effective duration

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

Description

Calculates the effective duration based on dscount vector (zero coupon) cashflow vector, and rate delta

Usage

BondEffectiveDuration(
  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 discount rates
time.period	A numeric vector of the time period

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