Functions and CALL Routines |
Returns the modified duration for a periodic cash flow stream,
such as a bond.
-
A
-
specifies the par value.
Range: |
![[equation]](images/leqn55.gif) |
-
c
-
specifies the nominal per-period coupon
rate, expressed as a fraction.
Range: |
![[equation]](images/leqn56.gif) |
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n
-
specifies the number of coupons per period.
Range: |
and is an integer |
-
K
-
specifies the number of remaining coupons.
Range: |
and is an integer |
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k0
-
specifies the time from the present date
to the first coupon date, expressed in terms of the number of periods.
Range: |
|
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y
-
specifies the nominal per-period yield-to-maturity,
expressed as a fraction.
Range: |
![[equation]](images/leqn60.gif) |
The DURP function returns the value
![[equation]](images/deqn91.gif)
where
and where
![[equation]](images/deqn92.gif)
data _null_;
d=durp(1000,1/100,4,14,.33/2,.10);
put d;
run;
The value returned is 3.26496.
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