duration {termstrc}R Documentation

Duration, modified Duration and Duration based Weights

Description

Duration, modified duration and duration based weights

Usage

duration(cf_p, m_p, y)

Arguments

cf_p cashflows matrix
m_p maturity matrix
y yield of the bond

Value

The function returns a matrix with three columns, i.e. duration, modified duration and duration based weights.

Author(s)

Robert Ferstl, Josef Hayden

References

David Bolder and David Streliski (1999): Yield Curve Modelling at the Bank of Canada.Technical Report No 84 Bank of Canada


[Package termstrc version 1.0 Index]