/usr/share/octave/packages/financial-0.4.0/cfconv.m is in octave-financial 0.4.0-1.
This file is owned by root:root, with mode 0o644.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 | ## 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{cfConv} =} cfconv (@var{cf}, @var{yield})
## Calculate convexity @var{cfConv} from given fixed-paid cash flow @var{cf} and
## period yield @var{yield}.
##
## Reference:
##
## [1] http://thismatter.com/money/bonds/duration-convexity.htm
##
## [2] http://en.wikipedia.org/wiki/Bond_convexity
##
## @seealso{cfdur}
## @end deftypefn
function [cfConv] = cfconv (cf, yield)
if ( nargin != 2 )
print_usage ();
elseif ( ! isscalar(yield) )
error("yield: must be scalar");
elseif ( rows(cf) != 1 )
error("Cash Flow: must be 1xN");
endif
v_idx = 1:columns(cf);
t1 = (1+yield) .^ (-v_idx);
t2 = ((v_idx .^ 2) + v_idx) .* t1;
cfConv = (cf*t2') / (cf*t1') / (1+yield) / (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;
%! cfConv = cfconv( cf, yield )
%! %--------------------------------------------------
%! % Input cash flow and yield, output convexity
%!test
%! cf = [2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 102.5];
%! cfConv = cfconv( cf, 0.025 );
%! errVal = round(cfConv*(1e+4))*(1e-4) - 90.4493;
%! errVal = round(errVal*(1e+10));
%! assert(errVal, 0)
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