| estimatedPercentChangePVFullPrice {bondAnalyst} | R Documentation |
Calculates the percentage change in Full Price of the Bond for a given a change in its Yield-To-Maturity and Modified Duration statistic.
Description
Calculates the percentage change in Full Price of the Bond for a given a change in its Yield-To-Maturity and Modified Duration statistic.
Usage
estimatedPercentChangePVFullPrice(annualModifDuration, changeInAnnualYtm)
Arguments
annualModifDuration |
A number. |
changeInAnnualYtm |
A number. |
Details
According to information provided by Adams and Smith (2019), the method estimatedPercentChangePVFullPrice() is developed to calculate the percentage change in Full Price of the Bond for a given a change in its Yield-To-Maturity and Modified Duration statistic.
Value
Input values to two arguments annualModifDuration and changeInAnnualYtm.
Author(s)
MaheshP Kumar, maheshparamjitkumar@gmail.com
References
Adams,J.F. & Smith,D.J.(2019). Understanding Fixed‑Income Risk and Return. In CFA Program Curriculum 2020 Level I Volumes 1-6. (Vol. 5, pp. 237-299). Wiley Professional Development (P&T). ISBN 9781119593577, https://bookshelf.vitalsource.com/books/9781119593577
Examples
estimatedPercentChangePVFullPrice(annualModifDuration=6.126829,changeInAnnualYtm=0.01)
estimatedPercentChangePVFullPrice(annualModifDuration=6.3432,changeInAnnualYtm=-0.01)