DUR Function

Returns the modified duration for an enumerated cash flow.

Category:

Financial

Syntax

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

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

Range

y > 0

specifies the frequency of cash flows per period.

Range

f > 0

specifies a list of cash flows.

The DUR function returns the value

\begin{matrix} C = \sum_{k = 1}^{K} \frac{k (\frac{c (k)}{{(1 + y)}^{\frac{k}{f}}})}{(P (1 + y) f)} \end{matrix}

The following relationship applies to the preceding equation:

\begin{matrix} P = Σ_{k = 1}^{K} \frac{c (k)}{{(1 + y)}^{\frac{k}{f}}} \end{matrix}

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

The value that is returned is 5.28402.