Documentation

cfdur

Cash-flow duration and modified duration

Syntax

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

Arguments

CashFlow

A vector or matrix of real numbers. When using a matrix, each column of the matrix is a separate CashFlow.

Yield

Periodic yield. A scalar or vector. Enter as a decimal fraction.

Description

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

Examples

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Compute the Duration and Modified Duration of a Cash Flow

This example shows how to calculate the duration and modified duration of a cash flow, 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


ModDuration =

    8.7521

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