View source: R/BondFunctions.R
Calculates the effective duration and convexity based on discount vector (zero coupon), cashflow vector, and rate delta
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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 |
type |
A character vector to specify either duration or convexity |
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