Key Rate Durations

Compute key rate durations by bumping the yield curve at specific tenors. Each bump is triangular: the full shift is applied at the key rate tenor and linearly interpolated to zero at adjacent key rate tenors.

Usage

yc_key_rate_duration(
  coupon_rate,
  maturity,
  curve,
  key_rates = c(1, 2, 5, 10, 30),
  shift = 1e-04,
  face = 100,
  frequency = 2
)

Arguments

coupon_rate

Numeric. Annual coupon rate as a decimal.

maturity

Numeric. Time to maturity in years.

curve

Either a yc_curve object or a list/data frame with components maturities and rates.

key_rates

Numeric vector of key rate tenors in years. Default is c(1, 2, 5, 10, 30).

shift

Numeric. Size of the rate bump in decimal (default 0.0001, i.e. 1 basis point).

face

Numeric. Face value. Default is 100.

frequency

Integer. Coupon frequency: 1 (annual) or 2 (semi-annual, default).

Value

A data frame with columns tenor and key_rate_duration.

Examples

curve <- yc_curve(c(1, 2, 5, 10, 30), c(0.03, 0.035, 0.04, 0.042, 0.045))
yc_key_rate_duration(coupon_rate = 0.04, maturity = 10,
                     curve = curve, key_rates = c(1, 2, 5, 10, 30))
#>   tenor key_rate_duration
#> 1     1        0.03784189
#> 2     2        0.18705915
#> 3     5        0.69145153
#> 4    10        7.05548982
#> 5    30        0.00000000