[R-SIG-Finance] Bond valuation

Brian G. Peterson brian at braverock.com
Fri Jun 27 15:48:37 CEST 2008

Hongchuan Xia wrote:
> Does R offer any package can calculate the duration of bond?

The duration of a bond is specified in the bond issue, it is not 
calculated.  So perhaps your question is not as clear as you might like?

So, I'll guess:

The R package 'termstrc' contains a number of functions for calculating 
metrics related to bonds such as the term structure of interest rates. 
It also contains some functionality which can be used to calculate the 
effective duration of a portfolio of bonds.


   - Brian

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