Functions and CALL Routines |
Returns the modified duration for an enumerated cash flow.
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y
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specifies the effective per-period yield-to-maturity,
expressed as a fraction.
Range: |
![[equation]](images/leqn53.gif) |
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f
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specifies the frequency of cash flows per
period.
Range: |
![[equation]](images/leqn54.gif) |
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c(1), ... ,c(k)
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specifies a list of cash flows.
The DUR function returns the value
![[equation]](images/deqn89.gif)
where
![[equation]](images/deqn90.gif)
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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