bondAnalyst (version 1.0.1)

macDurationOnFP: Calculates Macaulay Duration using the Full Price of the Bond and Yield-To-Maturity.

Description

Calculates Macaulay Duration using the Full Price of the Bond and Yield-To-Maturity.

Usage

macDurationOnFP(fp, n, ytm, cpn, mv, daysCpnToSettle, daysCouponPeriod)

Value

Input values to seven arguments fp , n , ytm, cpn, mv, daysCpnToSettle and daysCouponPeriod.

Arguments

fp

A number.

n

A number.

ytm

A number.

cpn

A number.

mv

A number.

daysCpnToSettle

A number.

daysCouponPeriod

A number

Author

MaheshP Kumar,

Details

According to information provided by Adams and Smith (2019), the method macDurationOnFP() is developed to calculate Macaulay Duration using the Full Price of the Bond and Yield-To-Maturity. Here, fp is Full Price of the bond, n is number of periods, ytm is yield-to-maturity, coupon is dollar value of the coupon payment, maturityVal is maturity Value, daysCpnToSettle is the number of days from the last coupon payment to the settlement date, and daysCouponPeriod is the number of days in the coupon period.

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

macDurationOnFP(fp=100.9404,n=8*2,ytm=0.06/2,cpn=3,mv=100,daysCpnToSettle=57,daysCouponPeriod=180)
macDurationOnFP(fp=85.5031,n=10, ytm=0.104, cpn=8, mv=100,daysCpnToSettle=0,daysCouponPeriod=0)