DUR Function

Returns the modified duration for an enumerated cash flow

Category: Financial

Syntax

DUR ( y,f,c(1), ... ,c(k) )

Arguments

y

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

• Range: y > 0

f

• specifies the frequency of cash flows per period.

• Range: f > 0

c(1), ... ,c(k)

• specifies a list of cash flows.

Details

The DUR function returns the value

where

Examples

 data _null_;  d=dur(1/20,1,.33,.44,.55,.49,.50,.22,.4,.8,.01,.36,.2,.4);  put d;  run; 

The value returned is 5.28402.