Financial Toolbox

cfdur

Syntax

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

Arguments

CashFlow	A vector of real numbers.
Yield	Periodic yield. A scalar. Enter as a decimal fraction.

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

Examples
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 (periods)

ModDuration =
             8.7521 (periods)

See Also
bndconvp, bndconvy, bnddurp, bnddury, cfconv

cfdates

cfport