Calculate treasury security auction formula yield to maturity with greater than one period to redemption
Introduced in release: 1.0 Component: US Bonds Purpose:
Calculates the yield to maturity for an auctioned treasury bond or note that has more than one period remaining to maturity.
Alternatives:
This routine requires inputs normally provided by other interim routines. The auct_py_ai routine uses a coupon rate and relevant dates in computing a yield. auct_py_ai is also more inclusive in that it internally determines the number of remaining periods to maturity and selects the appropriate yield algorithm (less than or equal to one period or greater than one period).
Notes:
The maturity date used by this routine can be a maturity/redemption date.
Results:
All results are calculated using the U.S. treasury auction formulas. The yield to maturity is returned as a percentage, accurate to as many places as supported by a double precision value.
Error Conditions:
Returned values should be ignored for a non-zero status. See Errors.
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