acc_int: Calculate Accrued Interest

In Tsunamical28/mdpr: Municipal Data and Pricing

Description

Bonds typically trade based on a "clean price," which does not include accrued interest. To calculate yields etc. "dirty price" must first be calculated by including accrued interest. This function assumes that the dates passed in confrom to the convention that settle is between accrual_start and next_coupon.

Usage

acc_int(accrual_start, settle, next_coupon, coupon, conv = "30/360",
  freq = 2)

Arguments

accrual_start	Accrual start date
settle	Settlement Date
next_coupon	Next coupon date
coupon	Annual coupon amount
conv	Daycount convention (one of "30/360", "Act/Act", or "Act/365")
freq	Coupon frequency (number of periods per year)

Value

Numeric value of the accrued interest for a par amount of 100

See Also

Other pricing functions: calc_clean_px, calc_clean_px.bond, calc_clean_px.default; calc_dirty_px, calc_dirty_px.bond, calc_dirty_px.default; calc_dv01, calc_dv01.bond, calc_dv01.default, calc_risk, calc_risk.bond, calc_risk.default; calc_yield, calc_yield.bond, calc_yield.default; calc_ytm; discount_cfs_single; risk_cfs_single; yield_cfs_single

Examples

acc_int("2015-01-15", "2015-03-07", "2015-07-15", "30/360", 2)

Tsunamical28/mdpr documentation built on May 9, 2019, 5:15 p.m.