uscs_risk

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uscs_risk_cl

uscs_risk_cl (routine)

Calculate price/yield, duration, convexity, etc. for a US corporate one step coupon bond to optional redemption dates

Introduced in release: 1.97
Component: US Bonds
Purpose: Calculates the following risk measures and associated values to maturity and specified optional redemption dates for a US corporate stepped coupon periodic interest payment security. Specifically it will calculate the measures below for all corporate periodic payment securities that pay the same dollar amount of interest each period until a conversion date and then a new dollar amount of interest each period until maturity (1 step).

  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: 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: 11/08/2000

Doc Version: 5.0