Description Usage Arguments Examples
Computes macaulay duration, modified macaulay duration and bond convexity.
1 2 3 4 5 | ivt_duration_macaulay(face_value, coupon_rate, yield, years)
ivt_duration_modified(face_value, coupon_rate, yield, years)
ivt_bond_convexity(face_value, coupon_rate, yield, years)
|
face_value |
Face/Par value of the bond. |
coupon_rate |
Coupon rate of the bond. |
yield |
Yield to maturity. |
years |
Years to maturity. |
1 2 3 | ivt_duration_macaulay(1000, 10, 8, 5)
ivt_duration_modified(1000, 10, 8, 5)
ivt_bond_convexity(100, 14, 12, 4)
|
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