spgb_cfsrisk

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spgb_cfsrisk

spgb_cfsrisk (routine)

Calculate price/yield, duration, convexity, etc. for an Spanish government bond

Introduced in release: 1.0
Component: Non-US (developed mkts)
Purpose: Calculates the following risk measures and associated values for a Spanish government regular bond with an optional interest free period. Specifically it performs calculations on Bonos, and Obligaciones.

  price/yield         ai                        current yield
  est. duration       est. modified duration    est. convexity
  price value 01      yield value 1/32
  total interest      coupon interest           interest on interest
  prev coupon date    next coupon date
  days accrued        days in period            days remaining

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

flag allows for auto determination or specification of the convention. Please review the documentation of spgb_convention_flag for details.

Notes: This routine calculates and uses time periods between dates as the total number of days divided by the number of days in the year. An alternative method is to use the number of days in the current period divided by the number of days in the year plus the number of whole periods. The routine spgb_risk uses this method in calculating risk measures.

Results: The 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.

Last Mod Date: 10/20/1998

Doc Version: 5.0