bondAnalyst (version 1.0.1)

modifDuration: Calculates Modified Duration statistic of a traditional Fixed-Rate Bond.

Description

Calculates Modified Duration statistic of a traditional Fixed-Rate Bond.

Usage

modifDuration(n, ytm, coupon, maturityVal, daysCpnToSettle, daysCouponPeriod)

Value

Input values to six arguments n , ytm, coupon, maturityVal, daysCpnToSettle and daysCouponPeriod.

Arguments

n

A number.

ytm

A number.

coupon

A number.

maturityVal

A number.

daysCpnToSettle

A number.

daysCouponPeriod

A number

Author

MaheshP Kumar, Clare Matuka

Details

According to information provided by Adams and Smith (2019), the method modifDuration() is developed to calculate Modified Duration statistic of a traditional Fixed-Rate Bond. Here, 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

modifDuration(n=10, ytm=0.104, coupon=8, maturityVal=100, daysCpnToSettle=0, daysCouponPeriod=0)
modifDuration(n=8*2,ytm=0.06/2,coupon=3,maturityVal=100,daysCpnToSettle=57,daysCouponPeriod=180)