Calculate cash flows for a bond with multiple coupon steps
Introduced in release: 1.2 Component: US Bonds Purpose:
Determines all future interest and principal flows and their corresponding dates, from the settlement date, for a bond with multiple coupon steps. The interest flow is the coupon payment and the principal flow is the principal repayment.
Special Considerations:
For the cash flows to be scaled consistently with those used by the security specific price/yield routine set the variable thous_securities to zero. This forces the cash flows to be based on 100 of maturity value.
Alternatives:
For interest and principal flows combined by date into cash flows use the routine N_stpd_cfs.
Notes:
A maximum of 20 conversion dates is accommodated.
Results:
All results are scaled by thous_securities and accurate to as many places as supported by double precision numbers. The array ifs contains the interest flow, the array pfs contains the principal flow and the arrays cf_months, cf_days, cf_years contain the corresponding date.
Error Conditions:
Returned values should be ignored for a non-zero status. See Errors.
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