Calculate cash flows for a capitalizing bond which amortizes principal w/date adjustments
Introduced in release: 1.9 Component: Non-US (emerging mkts) Purpose:
Calculates cash flows with corresponding dates for an odd 1st/2nd/last coupon bond with coupon rate changes a capitalization feature with capitalization rates varying over time, and which amortizes principal. In addition the coupon, amortization, capitalization, and cash flow dates can be adjusted to business dates. The cash flows are all interest payments and principal repayments combined by date.
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.
Notes:
The maturity date used by this routine can be a maturity/redemption date.
Results:
All results are accurate to as many places as supported by a double precision value. The array cfs contains the cash flows, the array mfs contains the money 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.
Main Index
TIPS Home