Description Usage Arguments Details Value Note Author(s) References See Also Examples

View source: R/4_financialFunctions.R

These functions evaluate the duration or the convexity of a series of cash flows

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`cashFlows` |
A vector representing the cash flows amounts. |

`timeIds` |
Cash flows times |

`i` |
APR interest, i.e. nominal interest rate compounded m-thly. |

`k` |
Compounding frequency for the nominal interest rate |

`macaulay` |
Is the macaulay duration (default value) or the effective duration to be evaluated? |

The Macaulay duration is defined
as *∑\limits_t^{T} \frac{t*CF_{t}≤ft( 1 + \frac{i}{k} \right)^{ - t*k}}{P}*, while
*∑\limits_{t}^{T} t*≤ft( t + \frac{1}{k} \right) * CF_t ≤ft(1 + \frac{y}{k} \right)^{ - k*t - 2}*

A numeric value representing either the duration or the convexity of the cash flow series

Vectorial interest rate are not handled yet.

Giorgio A. Spedicato

Broverman, S.A., Mathematics of Investment and Credit (Fourth Edition), 2008, ACTEX Publications.

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