disc_riskbey

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disc_riskbey

disc_riskbey (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: This routine differs from the disc_risk routine in that it allows you to indicate the method by which the days in a year are calculated for the 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.

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