Calculates cash flows for a periodic payment floating rate security
Introduced in release: 1.0 Component: Generic Purpose:
Given an array of coupon dates (with the last entry assumed to be the maturity date) and an array pair of projected coupon rate changes and their corresponding dates this routine will generate cash flows and calculate the accrued interest. You can use these cash flows in the generic cash flows routines to perform analytics.
Special Considerations:
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.
Alternatives:
For Act/Act day type you may want to specify how the number of days in the year (denominator) is calculated. pfyb_cfs will allow you to specify a flt_yrbasis.
Results:
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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