BondEffectiveMeasure: A function to compute effective duration and convexity

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

Description

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

Usage

BondEffectiveMeasure(
  Rate.Delta = numeric(),
  cashflow = vector(),
  discount.rates = vector(),
  time.period = vector(),
  type = "character"
)

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
type	A character vector to specify either duration or convexity

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