Returns the convexity for an enumerated cash flow
Category: Financial
CONVX ( y,f,c(1), ... ,c(k) )
y
specifies the effective per-period yield-to-maturity , expressed as a fraction.
Range: 0 < y < 1
f
specifies the frequency of cash flows per period.
Range: f > 0
c(1), ... ,c(k)
specifies a list of cash flows.
The CONVX function returns the value
where
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.