Dollar Weighted Yield
Calculates the dollar weighted yield.
yield.dollar(cf, times, start, end, endtime)
cf |
vector of cash flows |
times |
vector of times for when cash flows occur |
start |
beginning balance |
end |
ending balance |
endtime |
end time of comparison |
I=end-start-∑_{k=1}^ncf_k
i^{dw}=\frac{I}{start*endtime-∑_{k=1}^ncf_k*(endtime-times_k)}
The dollar weighted yield.
Time of comparison (endtime) must be larger than any number in vector of cash flow times.
Length of cashflow vector and times vector must be equal.
yield.dollar(cf=c(20,10,50),times=c(.25,.5,.75),start=100,end=175,endtime=1) yield.dollar(cf=c(500,-1000),times=c(3/12,18/12),start=25200,end=25900,endtime=21/12)
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