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Cash-flow duration and modified duration

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

  

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