Main Index
TIPS Home
N_stpd_cvx
N_stpd_cvx
(routine)
Calculate multiple stepped coupon bond convexity
Introduced in release:
1.0
Component:
US Bonds
Purpose:
Calculate actual convexity (the derivative of duration with respect to yield) for a multi-stepped coupon bond.
Notes:
A maximum of 20 conversion dates is accommodated.
The maturity date used by this routine can be a
maturity/redemption
date.
Results:
The calculated convexity is returned accurate to as many decimal places as supported by a double precision value.
Error Conditions:
The returned value should be ignored for a non-zero
status
. See
Errors
.
Last Mod Date: 08/06/1991
© 2001 TIPS, Inc.
Doc Version: 5.0
Main Index
TIPS Home