Calculates cash flows for an ISMA bond using 1999 conventions
Introduced in release: 1.38 Component: Non-US (developed mkts) Purpose:
Determines all future cash flows and their corresponding dates, from the settlement date, for an ISMAregular bond, odd first coupon bond, odd last coupon bond, and odd first and last coupon bond using 1999 conventions. The cash flows are all interest payments and principal repayments combined by date.
Special Considerations:
This function has as one of its parameters isma_convention_flag, a flag which specifies the convention to use in performing the calculation. The flag allows for auto determination or specification of the convention. Please review the documentation of isma_convention_flag for details.
For the cash flows to be scaled consistently with those used by the security specific price/yield routine, set the variable thous_securities to zero. This forces the cash flows to be based on 100 of maturity value.
Notes:
The settlement date used by this routine can be a settlement/target date.
Results:
All results are scaled by thous_securities and accurate to as many places as supported by double precision numbers. The array cfs contains the cash flows and the arrays cf_months, cf_days, cf_years contain the corresponding dates.
Error Conditions:
Returned values should be ignored for a non-zero status. See Errors.
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