| modifDuration {bondAnalyst} | R Documentation |
Calculates Modified Duration statistic of a traditional Fixed-Rate Bond.
Description
Calculates Modified Duration statistic of a traditional Fixed-Rate Bond.
Usage
modifDuration(n, ytm, coupon, maturityVal, daysCpnToSettle, daysCouponPeriod)
Arguments
n |
A number. |
ytm |
A number. |
coupon |
A number. |
maturityVal |
A number. |
daysCpnToSettle |
A number. |
daysCouponPeriod |
A number |
Details
According to information provided by Adams and Smith (2019), the method modifDuration() is developed to calculate Modified Duration statistic of a traditional Fixed-Rate Bond.
Here, 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.
Value
Input values to six arguments n , ytm, coupon, maturityVal, daysCpnToSettle and daysCouponPeriod.
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
modifDuration(n=10, ytm=0.104, coupon=8, maturityVal=100, daysCpnToSettle=0, daysCouponPeriod=0)
modifDuration(n=8*2,ytm=0.06/2,coupon=3,maturityVal=100,daysCpnToSettle=57,daysCouponPeriod=180)