macDurationOnFP {bondAnalyst} | R Documentation |
Calculates Macaulay Duration using the Full Price of the Bond and Yield-To-Maturity.
macDurationOnFP(fp, n, ytm, cpn, mv, daysCpnToSettle, daysCouponPeriod)
fp |
A number. |
n |
A number. |
ytm |
A number. |
cpn |
A number. |
mv |
A number. |
daysCpnToSettle |
A number. |
daysCouponPeriod |
A number |
According to information provided by Adams and Smith (2019), the method macDurationOnFP()
is developed to calculate Macaulay Duration using the Full Price of the Bond and Yield-To-Maturity.
Here, fp
is Full Price of the bond, n
is number of periods, ytm
is yield-to-maturity, coupon
is dollar value of the coupon payment, maturityVal
is maturity Value, daysCpnToSettle
is the number of days from the last coupon payment to the settlement date, and daysCouponPeriod
is the number of days in the coupon period.
Input values to seven arguments fp
, n
, ytm
, cpn
, mv
, daysCpnToSettle
and daysCouponPeriod
.
MaheshP Kumar, maheshparamjitkumar@gmail.com
Adams,J.F. & Smith,D.J.(2019). Understanding Fixedâ€‘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
macDurationOnFP(fp=100.9404,n=8*2,ytm=0.06/2,cpn=3,mv=100,daysCpnToSettle=57,daysCouponPeriod=180)
macDurationOnFP(fp=85.5031,n=10, ytm=0.104, cpn=8, mv=100,daysCpnToSettle=0,daysCouponPeriod=0)