Financial Toolbox

cfdur

Cash-flow duration and modified duration

Syntax

• [Duration, ModDuration] = cfdur(CashFlow, Yield)
  

Arguments

CashFlow	A vector of real numbers.
Yield	Periodic yield. A scalar. Enter as a decimal fraction.

Description

[Duration, ModDuration] = cfdur(CashFlow, Yield) calculates the duration and modified duration of a cash flow in periods.

Examples

Given a cash flow of nine payments of $2.50 and a final payment $102.50, with a periodic yield of 2.5%

• CashFlow=[2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 102.5];
  
  [Duration, ModDuration] = cfdur(CashFlow, 0.025)
  
  Duration =
             8.9709 (periods)
  
  ModDuration =
               8.7521 (periods)
  

See Also

bndconvp, bndconvy, bnddurp, bnddury, cfconv

cfdates

cfport