X-Git-Url: https://git.creatis.insa-lyon.fr/pubgit/?p=CreaPhase.git;a=blobdiff_plain;f=octave_packages%2Ffinancial-0.4.0%2Fcfdur.m;fp=octave_packages%2Ffinancial-0.4.0%2Fcfdur.m;h=f6940c486d28477eeeaa6a8c53e36823c803d74a;hp=0000000000000000000000000000000000000000;hb=f5f7a74bd8a4900f0b797da6783be80e11a68d86;hpb=1705066eceaaea976f010f669ce8e972f3734b05

diff --git a/octave_packages/financial-0.4.0/cfdur.m b/octave_packages/financial-0.4.0/cfdur.m
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+## Copyright (C) 2011 Hong Yu <hyu0401@hotmail.com>
+##
+## This program is free software; you can redistribute it and/or modify it under
+## the terms of the GNU General Public License as published by the Free Software
+## Foundation; either version 3 of the License, or (at your option) any later
+## version.
+##
+## This program is distributed in the hope that it will be useful, but WITHOUT
+## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
+## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
+## details.
+##
+## You should have received a copy of the GNU General Public License along with
+## this program; if not, see <http://www.gnu.org/licenses/>.
+
+## -*- texinfo -*-
+## @deftypefn {Function File} {[@var{dur}, @var{mod_dur}] =} cfdur (@var{cf}, @var{yield})
+## Calculate duration @var{dur} and modified duration @var{mod_dur}, from given
+## fixed-paid cash flow @var{cf} and period yield @var{yield}.
+##
+## Reference:
+## http://en.wikipedia.org/wiki/Bond_duration
+## Using periodic compounding instead of continuous compounding.
+##
+## @seealso{cfconv}
+## @end deftypefn
+
+function [dur, modDur] = cfdur (cf, yield)
+
+  if ( nargin != 2 )
+    print_usage ();
+  elseif ( ! isscalar(yield) )
+    error("input yield must be a scalar");
+  endif
+
+  if ( rows(1) != 1 )
+    error("input cash flow must be a 1xN matrix");
+  endif
+
+  v_idx   = 1:columns(cf);
+  t1      = (1+yield) .^ (-v_idx);
+  t2      = v_idx .* t1;
+
+  dur     = (cf*t2') / (cf*t1');
+  modDur  = dur / (1+yield);
+
+endfunction
+
+%!demo
+%! cf = [2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 102.5];
+%! yield = 0.025;
+%! [ duration, modDuration ] = cfdur( cf, yield )
+%! %--------------------------------------------------
+%! % Input cash flow and yield, output duration and modified duration
+
+%!test
+%! cf = [2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 102.5];
+%! [dur modDur] = cfdur( cf, 0.025 );
+%! errVal1 = round(dur*(1e+4))*(1e-4) - 8.9709;
+%! errVal2 = round(modDur*(1e+4))*(1e-4) - 8.7521;
+%! assert( errVal1, 0 )
+%! assert( errVal2, 0 )