duration {jrvFinance}

Duration and Modified Duration

Description

Computes Duration and Modified Duration for cash flows with different cash flow and compounding conventions. Cash flows need not be evenly spaced.

Usage

duration(
  cf,
  rate,
  cf.freq = 1,
  comp.freq = 1,
  cf.t = seq(from = ifelse(immediate.start, 0, 1/cf.freq), by = 1/cf.freq, along.with =
    cf),
  immediate.start = FALSE,
  modified = FALSE
)

Arguments

cf

Vector of cash flows

rate

The interest rate in decimal (0.10 or 10e-2 for 10%)

cf.freq

Frequency of annuity payments: 1 for annual, 2 for semi-annual, 12 for monthly.

comp.freq

Frequency of compounding of interest rates: 1 for annual, 2 for semi-annual, 12 for monthly, Inf for continuous compounding.

cf.t

Optional vector of timing (in years) of cash flows. If omitted regular sequence of years is assumed.

immediate.start

Logical variable which is TRUE when the first cash flows is at the beginning of the first period (for example, immediate annuities) and FALSE when the first cash flows is at the end of the first period (for example, deferred annuities)

modified

in function duration, TRUE if modified duration is desired. FALSE otherwise.