disc_risk

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disc_risk

disc_risk (routine)

Calculate price/yield, duration, convexity, etc. for a discount security

Introduced in release: 1.0
Component: Generic
Purpose: Calculates the following risk measures and associated values for a security which pays the par amount at maturity only with one optimized call:

       price/yield       discount rate
       cpn equiv yield   bond equiv yield
       duration          modified duration  convexity
       price value 01    yield value 1/32
       days in the year  days remaining

Special Considerations: 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.

Results: The results are accurate to as many places as supported by a double precision value, with the exception of price, which is truncated or rounded as per industry standards.

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

Last Mod Date: 02/09/1995

Doc Version: 5.0