Functions and CALL Routines

DUR Function

Returns the modified duration for an enumerated cash flow.

Category:

Financial

Syntax

DUR(y,f,c(1), ... ,c(k))

y

specifies the effective per-period yield-to-maturity, expressed as a fraction.

Range:

f

specifies the frequency of cash flows per period.

Range:

c(1), ... ,c(k)

specifies a list of cash flows.

The DUR function returns the value

[equation]

where

[equation]

data _null_;
   d=dur(1/20,1,.33,.44,.55,.49,.50,.22,.4,.8,.01,.36,.2,.4);
   put d;
run;

The value that is returned is 5.28402.