cfconv

Cash flow convexity

Syntax

CFlowConvexity = cfconv(CashFlow,Yield)

Description

CFlowConvexity = cfconv(CashFlow,Yield) returns the convexity of a cash flow in periods.

Examples

Compute the Convexity of a Cash Flow

This example shows how to return the convexity 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];

Convex = cfconv(CashFlow, 0.025)

Convex = 90.4493

Input Arguments

CashFlow — Cash flow

vector of real numbers

Cash flow, specified as a vector of real numbers.

Data Types: double

Yield — Periodic yield

scalar decimal

Periodic yield, specified as a scalar decimal.

Data Types: double

Output Arguments

CFlowConvexity — Convexity

scalar

Convexity returned as a scalar.