Calculate dollar price, discount rate, and yields for at-maturity securities
Introduced in release: 1.0 Component: Generic Purpose:
Given one of the following five inputs, dollar price, discount rate, money market yield, bond equivalent yield, and coupon equivalent yield this routine calculates the remaining four values an at-maturity security.
Special Considerations:
The variable ce_yield (coupon equivalent yield) is what the street currently refers to as bond equivalent yield.
Alternatives:
For industry standard trading/settlement numbers use at_mat_py_ai.
Notes:
This routine produces results as if the at maturity security was actually a discount security.
Results:
All results are calculated using the industry standard rules or generally accepted practices. The variables price, discount, yield, be_yield, and ce_yield contain the following results to as many place as supported by double precision values: dollar price, discount rate, money market yield, bond equivalent yield, and coupon equivalent yield.
Error Conditions:
Returned values should be ignored for a non-zero status. See Errors.
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