modifDurationUsingMacDuration {bondAnalyst} | R Documentation |
Calculates Modified Duration using the Macaulay Duration and Yield-To-Maturity.
Description
Calculates Modified Duration using the Macaulay Duration and Yield-To-Maturity.
Usage
modifDurationUsingMacDuration(macDuration, ytm)
Arguments
macDuration |
A number. |
ytm |
A number. |
Details
According to information provided by Adams and Smith (2019), the method modifDurationUsingMacDuration()
is developed to calculate Modified Duration using the Macaulay Duration and Yield-To-Maturity.
Value
Input values to two arguments macDuration
and ytm
.
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
modifDurationUsingMacDuration(macDuration=12.6213,ytm=0.06/2)
modifDurationUsingMacDuration(macDuration=7.0029,ytm=0.104)
[Package bondAnalyst version 1.0.1 Index]