macDurationOnCouponRate {bondAnalyst} | R Documentation |
#'Calculates Macaulay Duration using the Coupon Rate and Yield-To-Maturity.
Description
#'Calculates Macaulay Duration using the Coupon Rate and Yield-To-Maturity.
Usage
macDurationOnCouponRate(couponRate, n, ytm, tT)
Arguments
couponRate |
A number. |
n |
A number. |
ytm |
A number. |
tT |
A number. |
Details
According to information provided by Adams and Smith (2019), the method macDurationOnCouponRate()
is developed to calculate Macaulay Duration using the Coupon Rate and Yield-To-Maturity.
Here, couponRate
is Coupon Rate (for example, 0.03 means a coupon rate of 3 percent), n
is number of periods, ytm
is yield-to-maturity, and tT
is fraction that has the number of days from the last coupon payment to the settlement date in the numerator and the number of days in the coupon period in the denominator.
Value
Input values to four arguments couponRate
, n
, ytm
and tT
.
Author(s)
MaheshP Kumar, Clare Matuka
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
macDurationOnCouponRate(couponRate=0.03,n=8*2,ytm=0.06/2, tT=57/180)
macDurationOnCouponRate(couponRate=0.08,n=10, ytm=0.104, tT=0)