cfdur

Cash-flow duration and modified duration

Syntax

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

Description

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

Examples

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

Input Arguments

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 CashFlow.

Data Types: double

Yield — Periodic yield

scalar decimal | vector of decimals

Periodic yield, specified as a scalar decimal or a vector of decimals.

Data Types: double

Output Arguments

Duration — Duration

vector

Duration returned as a scalar or vector.

ModDuration — Modified duration

vector

Modified duration, returned as a scalar or vector.

More About

Cash Flow Duration

Cash flow duration is a measure used in finance to assess the sensitivity of the present value of an investment's cash flows to changes in interest rates.

A higher cash flow duration indicates that the cash flows are received further in the future, making the investment more sensitive to changes in interest rates. Conversely, a lower cash flow duration suggests that cash flows are received sooner, resulting in less sensitivity to interest-rate changes.

Version History

Introduced before R2006a