Displaying 3 results from an estimated 3 matches for "ytm_effective".
2010 Jan 19
0
Macaulay Duration for Group
...tenure, by = 1/freq_coupon_new))*freq_coupon_new
coupon_amount = coupon/(freq_coupon_new)
cash_flow1 = rep(c(coupon_amount), (tenure*freq_coupon_new - 1))
cash_flow2 = par_value + coupon_amount
cash_flow = c(cash_flow1, cash_flow2)
ytm_effective = ((1+ytm/100)^(1/freq_coupon_new))-1
pv = NULL
for (i in 1:(tenure*freq_coupon_new))
{
pv[i] = cash_flow[i] / ((1+ytm_effective)^terms_coupon_payment[i])
}
macaulay_duration = sum(pv*terms_coupon_payment)/sum(pv)
modified_duration = macaulay_duration / (1+(ytm_effective)/fr...
2010 Jan 19
0
Macualay Duration code in a Functional Form - Please Help
... = coupon_rate*par_value/100
coupon_amount = coupon/(freq_coupon_new)
cash_flow1 = rep(c(coupon_amount), (tenure*freq_coupon_new - 1))
cash_flow2 = par_value + coupon_amount
cash_flow = c(cash_flow1, cash_flow2)
ytm_effective = ((1+ytm/100)^(1/freq_coupon_new))-1
pv = NULL
for (i in 1:(tenure*freq_coupon_new))
{
pv[i] = cash_flow[i] / ((1+ytm_effective)^terms_coupon_payment[i])
}
macaulay_duration = sum(pv*terms_coupon_payment)/sum(pv)
modified_duration = macaulay_duration / (1+(ytm_e...
2010 Jan 20
2
Please Please Please Help me!!
... = coupon_rate*par_value/100
coupon_amount = coupon/(freq_coupon_new)
cash_flow1 = rep(c(coupon_amount), (tenure*freq_coupon_new - 1))
cash_flow2 = par_value + coupon_amount
cash_flow = c(cash_flow1, cash_flow2)
ytm_effective = ((1+ytm/100)^(1/freq_coupon_new))-1
pv = NULL
for (i in 1:(tenure*freq_coupon_new))
{
pv[i] = cash_flow[i] / ((1+ytm_effective)^terms_coupon_payment[i])
}
macaulay_duration = sum(pv*terms_coupon_payment)/sum(pv)
modified_duration = macaulay_duration / (1+(ytm_effective)/fr...