[R-SIG-Finance] Bond valuation

Paul DeBruicker pdebruic at gmail.com
Fri Jun 27 16:12:52 CEST 2008

I thought duration varied with market interest rates, time to
maturity, coupon rate and the affect of any embedded options in the
bond as in the formulas cited on this page:


Specifically the section on Macaulay duration & effective duration

To the question, I know of no R packages that provide a function to
calculate duration.  Maybe fBonds will when released.


On Fri, Jun 27, 2008 at 9:48 AM, Brian G. Peterson <brian at braverock.com> wrote:
> 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.
> Regards,
>  - Brian
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