Calculate bond dollar price, yield to maturity and accrued interest for UK government bonds (Gilts)
Introduced in release: 1.0 Component: Non-US (developed mkts) Purpose:
Calculates either dollar price or yield to maturity and accrued interest for UK government periodic interest payment security. Specifically it performs calculations on fixed rate Gilts.
Special Considerations:
This routine takes into consideration partial payments in the first period.
This function has as one of its parameters ukgb_convention_flag, a flag which specifies the convention to use in performing the calculation. The flag allows for auto determination or specification of the convention. Please review the documentation of ukgb_convention_flag for details.
Notes:
This routine calculates and uses time periods between dates as the number of days divided by the number of days in the period plus the whole number of periods. An alternative is the number to calculate the number of years between dates and multiply that by the coupon frequency. Use the routine ukgb_cf_py to calculate price/yield applying the alternative method.
This routine can optionally perform its calculations considering an input ex-dividend date. To calculate an ex-dividend date use the ukgb_exd routine.
Results:
All results are calculated using the industry standard rules or generally accepted practices, accurate to as many places as supported by a double precision value. The variable calculated contains the calculated dollar price or yield to redemption. The variable ai contains the accrued interest per 100 of maturity value.
Error Conditions:
Returned values should be ignored for a non-zero status. See Errors.
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