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Cash-flow duration and modified duration


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



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


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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

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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

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

Data Types: double

Output Arguments

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Duration returned as a scalar or vector.

Modified duration, returned as a scalar or vector.

Introduced before R2006a