Cash-flow duration and modified duration
Compute the Duration and Modified Duration of a Cash Flow
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
vector of real numbers | matrix of real numbers
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
scalar decimal | vector of decimals
Periodic yield, specified as a scalar decimal or a vector of decimals.
Duration — Duration
Duration returned as a scalar or vector.
ModDuration — Modified duration
Modified duration, returned as a scalar or vector.
Introduced before R2006a