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Functions and CALL Routines

DUR Function



Returns the modified duration for an enumerated cash flow.
Category: Financial

Syntax
Arguments
Details
Examples

Syntax

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


Arguments

y

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

Range: [equation]
f

specifies the frequency of cash flows per period.

Range: [equation]
c(1), ... ,c(k)

specifies a list of cash flows.


Details

The DUR function returns the value

[equation]

where

[equation]


Examples

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.

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