bond_st_ylds

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bond_st_ylds

bond_st_ylds (routine)

Calculate bond short term equivalent yields

Introduced in release: 1.0
Component: US Bonds
Purpose: Calculates the following short term security yield measures for a regular bond or odd first coupon bond.

      Bad days yield - yield adjusted for weekends and holidays
      Money market yield - simple interest yield on a 360 day basis
      365 day yield - bad days yield on a 365 day basis
      Discount rate - equivalent discount rate

Special Considerations: This routine should be used only for short term bonds. If bonds with long maturities are used the routine will calculate meaningless numbers.

Alternatives: The bond_mmey_dr routine may be used instead of this routine, when only a money market equivalent yield and discount rate are required.

Notes: The maturity date used by this routine can be a maturity/redemption date.

This routine only works with security_type 1, or 3 through 8. It does not work with any foreign security types.

Results: All results are calculated using the industry standard rules or generally accepted practices selected by the parameter security_type. Yields are returned as percentages, accurate to as many places as supported by double precision values. The array cfs contains the cash flows and the arrays cf_months, cf_days, cf_years contain the corresponding dates adjusted for weekends and holidays.

Error Conditions: Returned values should be ignored for a non-zero status. See Errors.

Last Mod Date: 04/10/1992

Doc Version: 5.0