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 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

### 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)


[Package bondAnalyst version 1.0.1 Index]