Well, this will give you an idea of how to do it. I couldn't figure out your ending dates logic? Also, I would as always recommend that having a long structure rather than a wide structure will make oyur coding far easier.
data have;
start=input("201511",yymmn6.);
end=input("201610",yymmn6.);
run;
data want;
set have;
array s{3} 8;
array e{3} 8;
s{1}=start;
e{1}=end;
do i=2 to (year(end)-year(start))+1;
s{i}=intnx('year',start,i-1,'b');
end;
format s: e: yymmn6.;
run;
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