Calculates price/yield and accrued interest for a periodic payment floating rate security
Introduced in release: 1.2 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 calculate the price/yield and accrued interest.
Alternatives:
For Act/Act day type you may want to specify how the number of days in the year (denominator) is calculated. pfyb_py_ai will allow you to specify a flt_yrbasis.
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.
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