N_stpd_cvxol

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N_stpd_cvxol

N_stpd_cvxol (routine)

Calculate multiple stepped coupon bond convexity w/odd last period

Introduced in release: 1.98
Component: US Bonds
Purpose: Calculate actual convexity (the derivative of duration with respect to yield) for a multi-stepped coupon bond with an odd last period.

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: 11/14/2000

Doc Version: 5.0