SAS Risk Dimensions, SAS High Performance Risk, SAS Enterprise GRC and other banking and insurance solutions

Internal Yield computation in SAS Risk Dimension

Reply
Occasional Contributor
Posts: 5

Internal Yield computation in SAS Risk Dimension

 

Hello Friends,

 

I need your help in resolving an issue with related to modified duration computation in sas rd.

 

I have configured cashflow analysis with duration as modified. As per my understanding sas risk dimension uses internal yield to compute the modified duration. I can see yield in the cashflow dataset but not able to find out how the same has been computed. I have tried with XIRR function (with the dates and cashflow amounts) but the same is not getting tallied with sas output. 

 

Request you to look into the issue. Sample excel working is attached. 

 

 

Ask a Question
Discussion stats
  • 0 replies
  • 332 views
  • 0 likes
  • 1 in conversation