Calculate bond dollar price, yield to maturity and accrued interest for ISMA securities (cum or ex dividend)
Introduced in release: 1.0 Component: Non-US (developed mkts) Purpose:
Calculates either dollar price or yield to maturity and accrued interest for a regular bond or odd first coupon bond (cum or ex dividend) which follows the ISMA rules.
Special Considerations:
ISMA rules call for all bonds to be traded cum dividend (without an ex-dividend provision). This routine performs ISMA methodology calculations including an ex-dividend provision.
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.
Results:
All results are calculated using the industry standard rules or generally accepted practices, accurate to as many places as supported by a double precision value. The variable calculated contains the calculated dollar price or yield to redemption. The variable ai contains the accrued interest per 100 of maturity value.
Error Conditions:
Returned values should be ignored for a non-zero status. See Errors.
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