Returns the modified duration for a periodic cash flow stream, such as a bond
Category: Financial
DURP ( A,c,n,K,k ,y )
A
specifies the par value.
Range: A > 0
c
specifies the nominal per-period coupon rate, expressed as a fraction.
Range: ‰ c < 1
n
specifies the number of coupons per period.
Range: n > 0 and is an integer
K
specifies the number of remaining coupons.
Range: K > 0 and is an integer
k
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: y > 0
The DURP function returns the value
where
and where
data _null_; d=durp(1000,1/100,4,14,.33/2,.10); put d; run;
The value returned is 3.26496.