[R] first and second derivative calculation
jeemba2012
jabrown10 at mail.usf.edu
Mon Oct 8 07:40:45 CEST 2012
I have a similar problem .
Here are functions I know that work properly
## PAnnuity function definition
PAnnuity <- function(A,y,m,n)
{
f<-(A/(y/m))*(1-1/((1+y/m)^n))
}
##BondPrice function
BondPrice <- function(c,y,m,n)
{
B <-100
f<-PAnnuity((c/m)*B,y,m,n) + B /((1+y/m)^n)
}
My function of question is which uses the latter function is
Co <- function(c,y,m,n)
{
f<- D(D(as.expression(BondPrice(c,y,m,n)),"y"),"y")/BondPrice(c,y,m,n)
}
when I test it using
convexity <- C0(0.09, 0.10, 2, 10)
>[1] 0.
I believe it is passing the parameters and taking the derivative of a
constant.
How do I get the 2nd Derivative and then pass the parameters for evaluation.
Thanks
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