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sf_dur_match

sf_dur_match (routine)

Find a duration matched bullet bond for the given sinking fund bond

Introduced in release: 1.1
Component: Generic
Purpose: Find the maturity date (pseudo_md_month, pseudo_md_day, pseudo_md_year) and redemption value (sink_wavg_rv) of a bullet bond which has the same coupon rate, coupon cycle, and duration as the given sinking fund bond.

The duration to be matched is calculated from the cash flows from the sink schedule discounted at a yield also calculated from the cash flows and the given price.

Special Considerations: The cash flows generated by this routine, unlike the other _cfs routines in the Library, cannot be scaled via the thous_securities variable, since they are based on the actual amounts passed in the outstanding_amt, sink_amt, sinkgrp_amts, overfund_amt, voluntary_amt and voluntarygrp_amts fields.

Notes: This routine can handle off cycle sinks, odd first and last coupons, sinks at other than par, and sinks at the head or tail.

Results: All results are accurate to as many places as supported by a double precision value. 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.
Last Mod Date: 01/25/1995© 2001 TIPS, Inc.Doc Version: 5.0