cf.analysis {FinancialMath} | R Documentation |
Calculates the present value, macaulay duration and convexity, and modified duration and convexity for given cash flows. It also plots the convexity and time diagram of the cash flows.
cf.analysis(cf,times,i,plot=FALSE,time.d=FALSE)
cf |
vector of cash flows |
times |
vector of the periods for each cash flow |
i |
interest rate per period |
plot |
tells whether or not to plot the convexity |
time.d |
tells whether or not to plot the time diagram of the cash flows |
pv=\sum_{k=1}^n\frac{cf_k}{(1+i)^{times_k}}
MAC D=\frac{\sum_{k=1}^n times_k*(1+i)^{-times_k}*cf_k}{pv}
MOD D=\frac{\sum_{k=1}^n times_k*(1+i)^{-(times_k+1)}*cf_k}{pv}
MAC C=\frac{\sum_{k=1}^n {times_k}^2*(1+i)^{-times_k}*cf_k}{pv}
MOD C=\frac{\sum_{k=1}^n times_k*(times_k+1)*(1+i)^{-(times_k+2)}*cf_k}{pv}
A matrix of all of the calculated values.
The periods in t must be positive integers.
cf.analysis(cf=c(1,1,101),times=c(1,2,3),i=.04,time.d=TRUE)
cf.analysis(cf=c(5,1,5,45,5),times=c(5,4,6,7,5),i=.06,plot=TRUE)