- Function SecurityPeriodicAccruedInterest(SettlementDate, MaturityDate, ParValue, Frequency, CouponRate, Basis)
SecurityPeriodicAccruedInterest
The function SecurityPeriodicAccruedInterest returns the accrued
interest from the begin of the coupon period until the settlement date
for a security that pays interest at the end of each coupon period.
SecurityPeriodicAccruedInterest(
SettlementDate, ! (input) scalar string expression
MaturityDate, ! (input) scalar string expression
ParValue, ! (input) numerical expression
Frequency, ! (input) numerical expression
CouponRate, ! (input) numerical expression
[Basis] ! (optional) numerical expression
)
Arguments
- SettlementDate
The date of settlement of the security. SettlementDate must be in date format.
- MaturityDate
The date of maturity of the security. MaturityDate must also be in date format and must be a date after SettlementDate.
- ParValue
The starting value of the security at issue date. ParValue must be a positive real number.
- Frequency
The number of coupon payments in one year. Frequency must be 1 (annual), 2 (semi-annual) or 4 (quarterly).
- CouponRate
The annual interest rate of the security as a percentage of the par value. CouponRate must be a nonnegative real number.
- Basis
The day-count basis method to be used. The default is 1.
Return Value
The function
SecurityPeriodicAccruedInterestreturns the interest accrued from the begin of the coupon period until settlement date.
Note
This function can be used in an objective function or constraint and the input parameters ParValue and CouponRate can be used as a variable.
Example
Security owned for half a year since last coupon date, against 4%, and value 100.
_p_spai := SecurityPeriodicAccruedInterest(
SettlementDate : "2024-07-01",
MaturityDate : "2025-01-01",
ParValue : 100,
Frequency : 1,
CouponRate : 0.04,
Basis : 1);
block where single_column_display := 1, listing_number_precision := 6 ;
display _p_spai ;
endblock ;
Results in an accrued interest of 2:
_p_spai := 2 ;