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isma_py_ol

isma_py_ol (routine)

Calculate bond dollar price, yield to maturity and accrued interest for ISMA securities (cum or ex dividend) using 1999 co

Introduced in release: 1.38
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, odd last coupon bond, and odd first and last coupon bond (cum or ex dividend) which follows the ISMA 1999 conventions.

Special Considerations: ISMA conventions 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.

Supercedes: isma_py_ai
Last Mod Date: 10/28/1998© 2001 TIPS, Inc.Doc Version: 5.0