Time Weighted Yield
Calculates the time weighted yield.
yield.time(cf,bal)
cf |
vector of cash flows |
bal |
vector of balances |
i^{tw}=∏_{k=1}^n (\frac{bal_{1+k}}{bal_k+cf_k})-1
The time weighted yield.
Length of cash flows must be one less than the length of balances.
If lengths are equal, it will not use final cash flow.
Kameron Penn and Jack Schmidt
yield.time(cf=c(0,200,100,50),bal=c(1000,800,1150,1550,1700))
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