cfdur
Cash-flow duration and modified duration
Description
[
calculates the duration and modified duration of a cash flow in periods.Duration
,ModDuration
] = cfdur(CashFlow
,Yield
)
Examples
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
Input Arguments
CashFlow
— Cash flow
vector of real numbers | matrix of real numbers
Cash flow, specified as a vector or matrix of real numbers. When using a
matrix, each column of the matrix is a separate
CashFlow
.
Data Types: double
Yield
— Periodic yield
scalar decimal | vector of decimals
Periodic yield, specified as a scalar decimal or a vector of decimals.
Data Types: double
Output Arguments
Duration
— Duration
vector
Duration returned as a scalar or vector.
ModDuration
— Modified duration
vector
Modified duration, returned as a scalar or vector.
Version History
Introduced before R2006a
Open Example
You have a modified version of this example. Do you want to open this example with your edits?
MATLAB Command
You clicked a link that corresponds to this MATLAB command:
Run the command by entering it in the MATLAB Command Window. Web browsers do not support MATLAB commands.
Select a Web Site
Choose a web site to get translated content where available and see local events and offers. Based on your location, we recommend that you select: .
You can also select a web site from the following list:
How to Get Best Site Performance
Select the China site (in Chinese or English) for best site performance. Other MathWorks country sites are not optimized for visits from your location.
Americas
- América Latina (Español)
- Canada (English)
- United States (English)
Europe
- Belgium (English)
- Denmark (English)
- Deutschland (Deutsch)
- España (Español)
- Finland (English)
- France (Français)
- Ireland (English)
- Italia (Italiano)
- Luxembourg (English)
- Netherlands (English)
- Norway (English)
- Österreich (Deutsch)
- Portugal (English)
- Sweden (English)
- Switzerland
- United Kingdom (English)