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sdil_inf_rsk

sdil_inf_rsk (routine)

Calculate price/yield, duration, convexity, etc. for a Swedish I/L bond

Introduced in release: 1.996
Component: Non-US (developed mkts)
Purpose: Calculates the following risk measures and associated values for a Swedish CPI linked bond. Results are calculated both with and without the given inflation assumption (inflation_rate).

  price               adjusted price
  real yield          money yield
  ai                  adjusted ai               current yield
  total interest      coupon interest           interest on interest
  prev coupon date    next coupon date
  days accrued        days in period            days remaining
  -- The following numbers based on money yield --
  est. duration       est. modified duration    est. convexity
  price value 01      yield value 1/32
  -- The following numbers based on real yield --
  est. duration       est. modified duration    est. convexity
  price value 01      yield value 1/32

Special Considerations: The estimated Macaulay duration, estimated modified duration, and estimated convexity calculated by this routine are based on their relationship to the value of a 0.01 swing in basis points, and therefore are approximate, usually matching the discounted cash flow method to three decimal places. The special status codes 4051, 4052, 4053, 4054, and 4055 may be returned by this routine when the security's yield, price, discount, coupon equivalent yield, or bond equivalent yield is so small that it precludes direct calculation of some other analytics, specifically duration and convexity. If this error occurs (unlike almost all other errors), most of the values returned by this routine are correct. The following returned values are correct after any of these status codes:

 price
 yield
 accrued interest
 current yield
 total interest
 coupon interest
 interest on interest
 days in the period
 days accrued
 days remaining
 periods remaining
 next coupon date
 previous coupon date

The following returned values are not correct after any of these status codes:

 duration
 modified duration
 convexity
 price value 01
 yield value 1/32

Notes: The maturity date used by this routine can be a maturity/redemption date.

It is industry convention to use the adjusted price and not the price.

The possible given values for this routine are:

 given_flag  1 -> yield given, calculate adjusted price and price
 given_flag  2 -> price given, calculate adjusted price and yield
 given_flag 22 -> adjusted price given, calculate price and yield

Results: The results are accurate to as many places as supported by a double precision value, with the exception of price, adjusted_price, ai, adjusted_ai which are rounded or truncated based on the industry rules.

Error Conditions: Returned values should be ignored for a non-zero status. See Errors.

Last Mod Date: 02/20/2001

Doc Version: 5.0