DURP Function


Returns the modified duration for a periodic cash flow stream, such as a bond

Category: Financial

Syntax

DURP ( A,c,n,K,k ,y )

Arguments

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

Details

The DURP function returns the value

click to expand

where

click to expand

and where

click to expand

Examples

 data _null_;  d=durp(1000,1/100,4,14,.33/2,.10);  put d;  run; 

The value returned is 3.26496.




SAS 9.1 Language Reference Dictionary, Volumes 1, 2 and 3
SAS 9.1 Language Reference Dictionary, Volumes 1, 2 and 3
ISBN: N/A
EAN: N/A
Year: 2004
Pages: 704

flylib.com © 2008-2017.
If you may any questions please contact us: flylib@qtcs.net