Functions and CALL Routines

DURP Function

Returns the modified duration for a periodic cash flow stream, such as a bond.

Category:

Financial

Syntax

DURP(A,c,n,K,k₀,y)

A

specifies the par value.

Range:

c

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

Range:

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

k₀

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

Range:

y

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

Range:

The DURP function returns the value

[equation]

where

and where

[equation]

data _null_;
d=durp(1000,1/100,4,14,.33/2,.10);
put d;
run;

The value returned is 3.26496.