bondDuration: Calculate the duration of a bond

In GARPFRM: Global Association of Risk Professionals: Financial Risk Manager

Description

Estimate the macaulay or modified duration of a fixed rate coupon bond given the discount curve and bond data. The duration is calculated using the continuously compounded yield

Usage

bondDuration(bond, discountCurve, percentChangeYield = 0,
  type = c("modified", "macaulay"))

Arguments

bond	a bond object created with bondSpec
discountCurve	vector of discount rates
percentChangeYield	optional elasticity measure
type	specify modified or macaulay duration

Value

duration of the bond

Author(s)

Thomas Fillebeen and Jaiganesh Prabhakaran

Examples

time = seq(from=0.5, to=2, by=0.5)
DF = rbind(0.968,0.9407242,0.9031545,0.8739803)
bond = bondSpec(time, face=100, m=2, couponRate = 0.0475)
mcDuration = bondDuration(bond,DF, type="macaulay")
modDuration = bondDuration(bond,DF, type="modified")

GARPFRM documentation built on May 2, 2019, 5:45 p.m.