duration | R Documentation |
duration
Function which calculates the duration of a portfolio or a contract.
duration(x, type="macaulay", yield, price, isPercentage=TRUE, from)
x |
the contract or portfolio of contracts for which to calculate the duration. |
type |
a |
yield |
a |
price |
a |
isPercentage |
a |
from |
a |
For the Macaulay duration, if yield
is not provided, price
should
be provided and is used to calculate the yield
.
For the Fisher-Weil duration, yieldCurve
must be specified. In this
case the argument price
has no effect.
a numeic
containing the calculated duration.
bnd1=bond(start="2015-01-01", maturity="30 years", nominal=1000,
coupon=0.06, couponFreq="1 year", role="long", variable=FALSE)
duration(bnd1, type="macaulay", yield=9)
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