Generate an cash flows for an odd 1st, 2nd, last coupon bond with varying coupon frequencies
Introduced in release: 1.3 Component: Non-US (emerging mkts) Purpose:
Determines all future cash flows and their corresponding dates, from the settlement date, for a periodic payment security with an optional odd 1st, second, and/or last period (odd 1st/2nd/last coupon bond) allowing for changes in coupon frequency on coupon dates.
Special Considerations:
A maturity/redemption date must always be given. An issue date and first coupon date must be specified for an odd first coupon bond. A first coupon date and second coupon date must be specified for an odd second coupon. A last coupon date must be specified for an odd last coupon bond. If a last coupon is given, the second coupon date (or first coupon date, if second is not given) and last coupon date must be in sync. If no last coupon date is given, the second coupon date (or first coupon date, if second is not given) and maturity date must also be in sync.
The coupon frequency changes can only occur on coupon payment dates.
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.
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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