stpd_risk

Main Index

TIPS Home

stpd_risk

stpd_risk (routine)

Calculate price/yield, duration, convexity, etc. for a one step coupon bond

Introduced in release: 1.0
Component: US Bonds
Purpose: Calculates the following risk measures and associated values for a security which pays interest periodically (one change in coupon rate) and principal at maturity only with one optimized call:

  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

Notes: This routine only works with security_type 1, or 3 through 8. It does not work with any foreign security types.

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

Results: The results are accurate to as many places as supported by a double precision value, with the exception of price, which is truncated or rounded as per industry standards.

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

Last Mod Date: 03/31/1995

Doc Version: 5.0