Chapter Contents Previous Next
 Language Reference

## RATES Function

calculates a column vector of interest rates converted from one base to another

the RATES function returns an n x 1 vector of interest rates converted
from one base to another.

rates
is an n x 1 column vector of rates.
Elements should be positive.
oldfreq
is a scalar which represents the old base.
If positive, it represents discrete compounding
as the reciprocal of the number of compoundings.
If zero, it represents continuous compounding.
If -1, it represents discount factors.
No other negative values are allowed
newfreq
is a scalar which represents the new base.
If positive, it represents discrete compounding
as the reciprocal of the number of compoundings.
If zero, it represents continuous compounding.
If -1, it represents per-period discount factors.
No other negative values are allowed

Let D(t) be the discount function, which is the present value of a unit amount to be received t periods from now. The discount function can be expressed in three different ways:
with per-unit-time-period discount factors dt:
D(t) = dtt
with continuous compunding:
D(t) = e-rt t
with discrete compunding:
D(t) = (1+fr)-(t/f)
where f > 0 is the frequency, the reciprocal of the number of compoundings per unit time period. The RATES function converts between these three representations.

Example proc iml;
rates=do(.1,.3,.1);
oldfreq=0;
newfreq=0;
rates2=T(rates);
rates=rates(rates2,oldfreq,newfreq);
print rates;
quit;

RATES
0.1
0.2
0.3

 Chapter Contents Previous Next Top