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)

[Package bondAnalyst version 1.0.1 Index]