termstrc (version 1.0)

duration: 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.

References

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