cfdur (Financial Toolbox)

Cash-flow duration and modified duration.

Syntax

[d, md] = cfdur(cf, yld)

Arguments

Description

[d, md] = cfdur(cf, yld)

calculates the duration d and modified duration (volatility) md of a cash flow in periods.

Example

Given a cash flow of nine payments of $2.50 and a final payment $102.50, with a periodic yield of 2.5%:

cf=[2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.5 102.5];
[d, md]=cfdur(cf, 0.025)
d =
       8.9709 (periods)
md =
       8.7521 (periods)