duration {termstrc} | R Documentation |
Duration, modified duration and duration based weights
duration(cf_p, m_p, y)
cf_p |
cashflows matrix |
m_p |
maturity matrix |
y |
yield of the bond |
The function returns a matrix with three columns, i.e. duration, modified duration and duration based weights.
Robert Ferstl, Josef Hayden
David Bolder and David Streliski (1999): Yield Curve Modelling at the Bank of Canada.Technical Report No 84 Bank of Canada