Canadian mortgage backed security - calculate the price/yield and accrued interest
Introduced in release: 1.391 Component: Non-US (developed mkts) Purpose:
Calculates either dollar price or yield to maturity and accrued interest for a Canadian mortgage backed security. It uses the monthly cash flows as input.
Special Considerations:
For wam less than 12 months the yield is input/calculated as a money market yield. For wam greater than or equal to 12 months the yield is input/calculated as a bond equivalent yield.
Notes:
This routine takes as input cash flows which may be calculated using cnmb_gtbls
Results:
The result is returned as the value of the function, 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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