| bondchange {GUIDE} | R Documentation |
Calculate the change in the price of a bond for change in yield based on the duration or duration and convexity approximtion.
Description
Function to calculate change in the price of a bond for change in yield based on the duration or duration and convexity approximation.
Usage
bondchange()
Details
The user inputs are as follows:
Face Value: to be entered in numbers for e.g. 1200.50
Modified Duration: percent per annum
Convexity: percent per annum
Change in yield (in basis points): clicking on "+/-" increases/decreases the yield.
Formula/Approximation: chosen between Duration/Duration and Convexity
Value
The change in the price of a bond for change in yield based on the duration or duration and convexity approximtion.
Author(s)
S Subramanian <ssubramanian@sssihl.edu.in>
References
John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.
See Also
[Package GUIDE version 1.2.7 Index]