Coupon Bond Duration and Convexity — yc_bond

Compute Macaulay duration, modified duration, and convexity for a coupon-bearing bond.

Usage

yc_bond_duration(
  face = 100,
  coupon_rate,
  maturity,
  yield,
  frequency = 2,
  compounding = c("semi_annual", "annual", "continuous")
)

Arguments

face: Numeric. Face (par) value of the bond. Default is 100.
coupon_rate: Numeric. Annual coupon rate as a decimal (e.g., 0.05 for 5 percent).
maturity: Numeric. Time to maturity in years.
yield: Numeric. Yield to maturity as a decimal.
frequency: Integer. Coupon frequency per year: 1 for annual or 2 for semi-annual (default).
compounding: Character. Compounding convention: "semi_annual" (default), "annual", or "continuous".

Value

A list with components macaulay_duration, modified_duration, convexity, and price.

Examples

# 2-year 5% bond at 4% yield, semi-annual coupons
yc_bond_duration(face = 100, coupon_rate = 0.05, maturity = 2,
                 yield = 0.04, frequency = 2)
#> $macaulay_duration
#> [1] 1.928783
#> 
#> $modified_duration
#> [1] 1.890964
#> 
#> $convexity
#> [1] 4.578047
#> 
#> $price
#> [1] 101.9039
#>