modifDurationUsingMacDuration {bondAnalyst}

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, [e-mail]

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)