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A soft question:

Are there any existing packages in R that allows one to compute the modified duration and convexity of bonds in R? If there isn't, how can one go about doing so (with formulas) with the appropriate bond data obtained?

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  • $\begingroup$ Have you looked at RQuantLib? $\endgroup$
    – Helin
    Nov 23, 2017 at 23:50
  • $\begingroup$ @HelinGai Yes but I can't seem to find anything on duration and convexity $\endgroup$
    – Stoner
    Nov 24, 2017 at 0:19
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    $\begingroup$ rdrr.io/cran/RQuantLib/man/FixedRateBond.html $\endgroup$
    – Helin
    Nov 24, 2017 at 1:17
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    $\begingroup$ Thanks @HelinGai! But what about convexity calculation? Is there also a package for it, or I just have to compute it by "brute force" - i.e. formulas? $\endgroup$
    – Stoner
    Nov 24, 2017 at 9:20

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