Previous Page | Next Page

Functions and CALL Routines

CONVXP Function


Returns the convexity for a periodic cash flow stream, such as a bond.
Category: Financial
Syntax
Arguments
Details
Examples

Syntax

CONVXP(A,c,n,K,k0,y)


Arguments

A

specifies the par value.

Range: [equation]
c

specifies the nominal per-period coupon rate, expressed as a fraction.

Range: [equation]
n

specifies the number of coupons per period.

Range: [equation] and is an integer
K

specifies the number of remaining coupons.

Range: [equation] and is an integer
k0

specifies the time from the present date to the first coupon date, expressed in terms of the number of periods.

Range: [equation]
y

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

Range: [equation]
Details

The CONVXP function returns the value

[equation]

where

[equation]

[equation]

[equation]

and where

[equation]

Examples

In the following example, the CONVXP function returns the convexity of a bond that has a face value of 1000, an annual coupon rate of 0.01, 4 coupons per year, and 14 remaining coupons. The time from settlement date to next coupon date is 0.165, and the annual yield-to-maturity is 0.08. 

data _null_;
   y=convxp(1000,.01,4,14,.33/2,.08);
   put y;
run;

The value that is returned is 11.729001987.

Previous Page | Next Page | Top of Page

Copyright © 2011 by SAS Institute Inc., Cary, NC, USA. All rights reserved.