isma_risk

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isma_risk

isma_risk (routine)

Calculate price/yield, duration, convexity, etc. for an bond using ISMA standards

Introduced in release: 1.0
Component: Non-US (developed mkts)
Purpose: Calculates the following risk measures and associated values for a regular bond or odd first coupon bond following ISMA standards.

  price/yield         ai                        current yield
  est. duration       est. modified duration    est. convexity
  price value 01      yield value 1/32
  total interest      coupon interest           interest on interest
  prev coupon date    next coupon date
  days accrued        days in period            days remaining

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.

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. The special status codes 4051, 4052, 4053, 4054, and 4055 may be returned by this routine when the security's yield, price, discount, coupon equivalent yield, or bond equivalent yield is so small that it precludes direct calculation of some other analytics, specifically duration and convexity. If this error occurs (unlike almost all other errors), most of the values returned by this routine are correct. The following returned values are correct after any of these status codes:

 price
 yield
 accrued interest
 current yield
 total interest
 coupon interest
 interest on interest
 days in the period
 days accrued
 days remaining
 periods remaining
 next coupon date
 previous coupon date

The following returned values are not correct after any of these status codes:

 duration
 modified duration
 convexity
 price value 01
 yield value 1/32

Alternatives: If you have bonds with odd last periods use isma_risk_ol

Results: The results are accurate to as many places as supported by a double precision value.

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

Last Mod Date: 10/20/1998

Doc Version: 5.0