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cnmb_riskcnmb_risk (routine)
Calculate price/yield, duration, convexity, etc. for a Canadian mortgage backed security
Introduced in release: 1.391
Component: Non-US (developed mkts)
Purpose:
Calculates the following risk measures and associated values for a Canadian mortgage backed security
price/yield ai current yield
est. duration est. modified duration est. convexity
price value 01 yield value 1/32
total interest coupon interest interest on interest
prev coupon date next coupon date
days accrued days in period days remaining
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.
The estimated Macaulay duration, estimated modified duration, and estimated convexity calculated by this routine are based on their relationship to the value of a 0.01 swing in basis points, and therefore are approximate, usually matching the discounted cash flow method to three decimal places. The special status codes 4051, 4052, 4053, 4054, and 4055 may be returned by this routine when the security's yield, price, discount, coupon equivalent yield, or bond equivalent yield is so small that it precludes direct calculation of some other analytics, specifically duration and convexity. If this error occurs (unlike almost all other errors), most of the values returned by this routine are correct. The following returned values are correct after any of these status codes:
price
yield
accrued interest
current yield
total interest
coupon interest
interest on interest
days in the period
days accrued
days remaining
periods remaining
next coupon date
previous coupon date
The following returned values are not correct after any of these status codes:
duration
modified duration
convexity
price value 01
yield value 1/32
Results:
The results are 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.
| Last Mod Date: 07/23/1999 | © 2001 TIPS, Inc. | Doc Version: 5.0 |