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Cash flow convexity


CFlowConvexity = cfconv(CashFlow,Yield)



A vector of real numbers.


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


CFlowConvexity = cfconv(CashFlow,Yield) returns the convexity of a cash flow in periods.


collapse all

This example shows how to return the convexity 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];

Convex = cfconv(CashFlow, 0.025)
Convex = 90.4493

Introduced before R2006a