Cash-flow duration and modified duration
[Duration,ModDuration] = cfdur(CashFlow,Yield)
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
CashFlow— Cash flow
Cash flow, specified as a vector or matrix of real numbers. When using a
matrix, each column of the matrix is a separate
Yield— Periodic yield
Periodic yield, specified as a scalar decimal or a vector of decimals.
Duration returned as a scalar or vector.
ModDuration— Modified duration
Modified duration, returned as a scalar or vector.