11-27-2016 04:54 AM
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.