findDur: Find duration/maturity given interest rate and...

In gsk3/maRketSim: Market simulator for R

Description

Calculates the desired value given basic inputs. findDur_ClosedForm(), findMaxDur(), and findMaxMat are various closed-form approximations, whereas findDur and findMat are exact.

Usage

findDur(mat, i, market.rate = NA, f = 0.5, type = "modified", ...)
findMat(dur,i,f=.5)
findMaxDur( i, market.rate, ... )
findMaxMat( i, market.rate, ... )
findDur_ClosedForm(i,market.rate,mat,type="pianca")

Arguments

mat	Maturity
dur	Duration
i	Interest rate
market.rate	Market rate under which to evaluate mat/dur
f	Frequency of coupon payments
type	For findDur: "modified" currently the only option. For findDur_ClosedForm: "pianca", "macaulay", or "hawawini"
...	Pass-alongs.

Value

Returns a numeric value with the maturity/duration as described

gsk3/maRketSim documentation built on May 17, 2019, 8:55 a.m.