Mortgage backed security - calculates the effective duration and effective convexity
Introduced in release: 1.0 Component: US MBS Purpose:
Calculates the effective duration and effective convexity given a price, a price from a yield shift up, a price from the same yield shift down, and the value of the yield shift
Results:
The effective duration is returned in the variable eff_dur and the effective convexity is returned in the variable eff_cvx. All 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.
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