DUR Function

Returns the modified duration for an enumerated cash flow.

Categories:	Financial
	CAS

Table of Contents

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

The following relationship applies to the preceding equation:

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

SAS writes the following output to the log:

5.284024988

Last updated: March 16, 2017