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Cash-flow duration and modified duration


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



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


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


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


collapse all

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

Introduced before R2006a