duration              package:termstrc              R Documentation

_D_u_r_a_t_i_o_n, _m_o_d_i_f_i_e_d _D_u_r_a_t_i_o_n _a_n_d _D_u_r_a_t_i_o_n _b_a_s_e_d _W_e_i_g_h_t_s

_D_e_s_c_r_i_p_t_i_o_n:

     Duration, modified duration and duration based weights

_U_s_a_g_e:

     duration(cf_p, m_p, y)

_A_r_g_u_m_e_n_t_s:

    cf_p: cashflows matrix

     m_p: maturity matrix

       y: yield of the bond

_V_a_l_u_e:

     The function returns a matrix with three columns, i.e. duration,
     modified duration and duration based weights.

_A_u_t_h_o_r(_s):

     Robert Ferstl, Josef Hayden

_R_e_f_e_r_e_n_c_e_s:

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

