Language Reference

Financial Functions

The SAS/IML language supports more than 50 functions in Base SAS that are applicable to finance, including the following:

BLACKCLPRC	calculates the call price for European options on futures, based on the Black model
BLACKPTPRC	calculates the put price for European options on futures, based on the Black model
BLKSHCLPRT	calculates the call price for European options, based on the Black-Scholes model
BLKSHPTPRT	calculates the put price for European options, based on the Black-Scholes model
COMPOUND	returns compound interest parameters
CONVX	returns the convexity for an enumerated cash flow
CONVXP	returns the convexity for a periodic cash flow stream
DACCDB	returns the accumulated declining balance depreciation
DACCDBSL	returns the accumulated declining balance with conversion to a straight-line depreciation
DACCSL	returns the accumulated straight-line depreciation
DACCSYD	returns the accumulated sum-of-years-digits depreciation
DACCTAB	returns the accumulated depreciation from specified tables
DEPDB	returns the declining balance depreciation
DEPDBSL	returns the declining balance with conversion to a straight-line depreciation
DEPSL	returns the straight-line depreciation
DEPSYD	returns the sum-of-years-digits depreciation
DEPTAB	returns the depreciation from specified tables
DUR	returns the modified duration for an enumerated cash flow
FINANCE	computes financial calculations such as depreciation, maturation, accrued interest, net present value, periodic savings, and internal rates of return
GARKHCLPRC	calculates the call price for European options on stocks, based on the Garman-Kohlhagen model
GARKHPTPRC	calculates the put price for European options on stocks, based on the Garman-Kohlhagen model
INTRR	returns the internal rate of return as a decimal
IRR	returns the internal rate of return as a percentage
MARGRCLPRC	calculates the call price for European options on stocks, based on the Margrabe model
MARGRPTPRC	calculates the put price for European options on stocks, based on the Margrabe model
MORT	returns amortization parameters
NETPV	returns the net present value as a decimal
NPV	returns the net present value as a percentage
PVP	returns the present value for a periodic cash flow stream
SAVING	returns the future value of a periodic saving
YIELDP	returns the yield-to-maturity for a periodic cash flow stream