PrefBlog

This is actually rather amusing.

Those familiar with my work will know that I’m somewhat obsessive about errors. They can creep in anywhere, with severe consequences for quantitative systems! I therefore have the philosophy: if anything can be checked, it should be checked!

A number of these checks occur in the calculation of flatBidPrice. The programme calculates the so-called accruedDividend either by using the two actual dividendRecords, or by estimating the next dividend by using the appropriate fields of the instrumentDataRecord, if necessary.

AR.PR.B has a par value of $50 and is supposed to pay a dividend of $2.70 annually. Poor old Argus has been in default for years, but that’s what it’s supposed to do. And it turns out that the accruedDividend as of 2008-3-5 should be about $0.26.

But! Here’s where the check comes in! What if the next dividend record is screwed up, or something else horrible has occured? What if, due to some glitch or other, the data shows that the next dividend should be $1,000? This is something that can be checked and therefore should be checked. The form of the control is: The calculated accrued dividend must be less than the bid price of the security … if anything, this is a rather generous error tolerance, but when this sort of error occurs it’s usually not just for a few pennies.

So the accrued dividend calculated today was about $0.26 … and the bid price is $0.25. ERROR!

AR.PR.B, which has been tracked by HIMIPref™ from the very earliest date in the database, has now had its coverage halted. A reorg entry has been added with a reorgType of REORG_DISCONTINUED and a take-out price of $0.25.

Ave atque vale!

This entry was posted on Wednesday, March 5th, 2008 at 8:36 pm and is filed under Data Changes, Issue Comments. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.