Bond.Accrint Method

BondAccrint Method

Returns the interest which has accrued on a security that pays interest periodically.

Namespace: Imsl.Finance
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0

Syntax

public static double Accrint(
	DateTime issue,
	DateTime firstCoupon,
	DateTime settlement,
	double rate,
	double par,
	BondFrequency frequency,
	DayCountBasis basis
)

Public Shared Function Accrint ( 
	issue As DateTime,
	firstCoupon As DateTime,
	settlement As DateTime,
	rate As Double,
	par As Double,
	frequency As BondFrequency,
	basis As DayCountBasis
) As Double

public:
static double Accrint(
	DateTime issue, 
	DateTime firstCoupon, 
	DateTime settlement, 
	double rate, 
	double par, 
	BondFrequency frequency, 
	DayCountBasis^ basis
)

static member Accrint : 
        issue : DateTime * 
        firstCoupon : DateTime * 
        settlement : DateTime * 
        rate : float * 
        par : float * 
        frequency : BondFrequency * 
        basis : DayCountBasis -> float

Parameters

issue: Type: SystemDateTime
The DateTime issue date of the security.
firstCoupon: Type: SystemDateTime
The DateTime date of the security's first interest date.
settlement: Type: SystemDateTime
The DateTime settlement date of the security.
rate: Type: SystemDouble
A double which specifies the security's annual coupon rate.
par: Type: SystemDouble
A double which specifies the security's par value.
frequency: Type: Imsl.FinanceBondFrequency
A int which specifies the number of coupon payments per year (1 for annual, 2 for semiannual, 4 for quarterly).
basis: Type: Imsl.FinanceDayCountBasis
A DayCountBasis object which contains the type of day count basis to use.

Return Value

Type: Double
A double which specifies the accrued interest.

Remarks

In the equation below, represents the number of days which have accrued for the th quasi-coupon period within the odd Frequency. (The quasi-coupon periods are periods obtained by extending the series of equal payment periods to before or after the actual payment periods.) ${\it NC}$ represents the number of quasi-coupon periods within the odd period, rounded to the next highest integer. (The odd period is a period between payments that differs from the usual equally spaced periods at which payments are made.) ${\it NL}_i$ represents the length of the normal ith quasi-coupon period within the odd Frequency. ${\it NL}_i$ is expressed in days. Accrint solves the following:

${\it par} \left({{{\it rate} \over {\it frequency}} {\sum\limits_{i = 1}^{\it NC} {{{{A_i } \over {{\it NL}_i }}}} }} \right)$

Reference

Bond Class

Imsl.Finance Namespace

Other Resources

Example