accrued.interests: Accrued interest

In QuantBondCurves: Calculates Bond Values and Interest Rate Curves for Finance

Accrued interest

Description

Calculates the accumulated coupon or accrued interests of the asset, from its last coupon or cash flow payment.

Usage

accrued.interests(
  maturity,
  analysis.date = Sys.Date(),
  coupon.rate,
  principal = 1,
  asset.type = "TES",
  freq = NULL,
  daycount = "ACT/360"
)

Arguments

maturity	Last day of the contract: YYYY-MM-DD. Alternatively, it can be a numeric value that represents the duration of the contract in years.
analysis.date	Date in which the asset is valued. By default, the current date.
coupon.rate	Coupon rate of the asset. Can be an unique numeric value or a vector corresponding to each coupon payment date.
principal	Notional amount for the asset.
asset.type	String that determines the asset type to value. See also 'Details'.
freq	Frequency of payments of a given asset in a year. For LIBOR and IBR the default frequency is four (quarterly payments). TES has a default frequency of one (annual payments).
daycount	Day count convention. See also 'Details'.

Details

asset.type makes reference to the following type of assets:

• "TES" for Colombian Treasury Bonds (default).

• "FixedIncome" for assets that are indexed to a fixed income with different frequency of payments.

• "IBR" for bonds and assets indexed to 3M IBR rate.

• "IBRSwaps" for swaps indexed to IBR rate.

• "LIBOR" for bonds and assets indexed to 3M LIBOR.

• "UVRSwaps" for cross-currency swaps indexed to UVR-IBR rate.

• "LIBORSwaps" for Interest Rate Swaps (IRS) indexed to 3M LIBOR.

daycount convention accepts the following values:

• 30/360.

• ACT/365.

• ACT/360 (Default).

• ACT/365L.

• NL/365.

• ACT/ACT-ISDA

• ACT/ACT-AFB

Value

Accrued interest of the bond from the last coupon payment to the liquidation (valuation date).

Examples

accrued.interests(coupon.rate = 0.04, maturity = '2029-08-10',
                  asset.type = 'LIBOR', daycount = "30/360")
accrued.interests(coupon.rate = 0.04, maturity = '2029-08-10',
                  daycount = "NL/365")
accrued.interests(coupon.rate = 0.04, maturity = '2029-08-10',
                  asset.type= 'IBR', daycount = "ACT/360")
accrued.interests(coupon.rate = 0.04, maturity = '2029-08-10', freq= 2,
                  asset.type= 'FixedIncome', daycount = "ACT/365")

QuantBondCurves documentation built on April 4, 2025, 5:11 a.m.