[R-SIG-Finance] Bond valuation

[Charles Ward]

Duration calculation is indeed contained in termstrc

The entry is given as...

duration {termstrc}

The function calculates the Macauly duration, modified duration and 
duration based weights.
Usage
duration(cf_p, m_p, y)

Arguments
cf_p     cashflows matrix including the prices of the bonds.
m_p     maturity matrix, the first row is filled with zeros.
y     yields of the bonds.


Charles Ward


Paul DeBruicker wrote:
> 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:
>
> http://en.wikipedia.org/wiki/Bond_duration
>
> 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.
>
> Paul
>
>
> 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
>>
>> _______________________________________________
>> R-SIG-Finance at stat.math.ethz.ch mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only.
>> -- If you want to post, subscribe first.
>>
>>     
>
> _______________________________________________
> R-SIG-Finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.
>