Calculate price/yield to a call schedule for a Canadian accrual note
Introduced in release: 1.399 Component: Non-US (developed mkts) Purpose:
Calculates either dollar prices or yields to maturity/call for a Canadian accrual note.
Special Considerations:
This function uses accreted redemption values (rd_rvs) to calculate price/yield. In addition there is no separate accrued interest calculated.
Results:
All results are calculated accurate to as many places as specified by tolerance. The variable worst_calculated contains the calculated dollar price or yield to the worst of maturity or call. The worst redemption date (worst_rd_month, worst_rd_day, worst_rd_year) contains the date to which the worst_calculated was calculated. The worst_rv contains the redemption value to which the worst_calculated was calculated.
In addition to the calculation to worst, the results of the calculation to each specified call and to maturity are returned in the calc to arrays. The last element always contains the calculation to maturity.
Error Conditions:
Returned values should be ignored for a non-zero status. See Errors.
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