uscm_risk

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uscm_risk_cs

uscm_risk_cs (routine)

Calculates price/yield, duration, convexity, etc. for a multi stepped coupon bond to optional redemption dates

Introduced in release: 1.991
Component: US Bonds
Purpose: Calculates the following risk measures and associated values to maturity and specified optional call/put and sinking fund dates for a multiple stepped coupon bond with optionally an odd last coupon period.

  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

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: A maximum of 20 conversion dates is accommodated.

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

Results: All results are calculated using industry standard rules or generally accepted practices. All results are accurate to as many places as supported by double precision values. Price is returned as the price per 100 of maturity value and 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: 01/05/2001

Doc Version: 5.0