Calculate price/yield to call schedule for a US corporate multi-step coupon bond
Introduced in release: 1.2 Component: US Bonds Purpose:
Calculates either dollar prices or yields to maturity/call and accrued interest for a US corporate stepped coupon periodic interest payment security where the coupon steps occur on coupon payment dates.
Notes:
The call schedule (rd_sched_type) can either be discrete calls or continuous calls.
A maximum of 20 conversion dates is accommodated.
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 worst_calculated contains the calculated dollar price or yield to the worst of maturity or call. The worst redemption date (worst_rd_month, worst_rd_day, worst_rd_year) contains the date to which the worst_calculated was calculated. The worst_rv contains the redemption value to which the worst_calculated was calculated. To round or truncate the results to industry standards see the routine rslt_fix_plc. The variable ai contains the accrued interest per 100 of maturity value.
In addition to the calculation to worst, the results of the calculation to each specified call and to maturity are returned in the calc to arrays. The last element always contains the calculation to maturity.
Error Conditions:
Returned values should be ignored for a non-zero status. See Errors.
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