Functions and CALL Routines |
Returns the convexity for an enumerated cash flow.
CONVX(y,f,c(1), ... ,c(k))
|
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y
-
specifies the effective per-period yield-to-maturity,
expressed as a fraction.
Range: |
![[equation]](images/leqn36.gif) |
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f
-
specifies the frequency of cash flows per
period.
Range: |
![[equation]](images/leqn37.gif) |
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c(1), ... ,c(k)
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specifies a list of cash flows.
The CONVX function returns the value
![[equation]](images/deqn64.gif)
where
![[equation]](images/deqn65.gif)
data _null_;
c=convx(1/20,1,.33,.44,.55,.49,.50,.22,.4,.8,.01,.36,.2,.4);
put c;
run;
The value returned is 42.3778.
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