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 perperiod 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 perunittimeperiod discount factors d_{t}:

D(t) = d_{t}^{t}
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
Copyright © 1999 by SAS Institute Inc., Cary, NC, USA. All rights reserved.