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Cash Flow Generation and Sensitivities

Generate cash flows and analyze duration and convexity for exposure to parallel shifts in the yield curve

Functions

cfconv Cash flow convexity
cfdur Cash-flow duration and modified duration
cfamounts Cash flow and time mapping for bond portfolio
cfport Portfolio form of cash flow amounts
cftimes Time factors corresponding to bond cash flow dates
cfdates Cash flow dates for fixed-income security
cfdatesq Quasi-coupon dates for fixed-income security
cfprice Compute price for cash flow given yield to maturity
cfplot Visualize cash flows of financial instruments
cfspread Compute spread over yield curve for cash flow
cfyield Compute yield to maturity for cash flow given price
cfbyzero Price cash flows from set of zero curves
tmfactor Time factors of arbitrary dates

Topics

Analyzing and Computing Cash Flows

Cash-flow functions compute interest rates and rates of return, present or future values, depreciation streams, and annuities.

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