accrInterestMaturity¶

Evaluates the interest which has accrued on a security that pays interest at maturity.

Synopsis¶

accrInterestMaturity (issue, maturity, couponRate, parValue, basis)

Required Arguments¶

date issue (Input): The date on which interest starts accruing. For a more detailed discussion on dates see the Usage Notes section of this chapter.
date maturity (Input): The date on which the bond comes due, and principal and accrued interest are paid. For a more detailed discussion on dates see the Usage Notes section of this chapter.
float couponRate (Input): Annual interest rate set forth on the face of the security; the coupon rate.
float parValue (Input): Nominal or face value of the security used to calculate interest payments.
int basis (Input): The method for computing the number of days between two dates. It should be one of DAY_CNT_BASIS_ACTUALACTUAL, DAY_CNT_BASIS_NASD, DAY_CNT_BASIS_ACTUAL360, DAY_CNT_BASIS_ACTUAL365, or DAY_CNT_BASIS_30E360. For a more detailed discussion see the Usage Notes section of this chapter.

Return Value¶

The interest which has accrued on a security that pays interest at maturity. If no result can be computed, NaN is returned.

Description¶

Function accrInterestMaturity computes the accrued interest for a security that pays interest at maturity:

\[(\mathit{parValue})(\mathit{rate})\left(\frac{A}{D}\right)\]

In the above equation, A represents the number of days starting at issue date to maturity date and D represents the annual basis.

Example¶

In this example, accrInterestMaturity computes the accrued interest for a security that pays interest at maturity using the US (NASD) 30/360 day count method. The security has a par value of $1,000, the issue date of October 1, 2000, the maturity date of November 3, 2000, and a coupon rate of 6%.

from __future__ import print_function
from numpy import *
from datetime import date
from pyimsl.math.accrInterestMaturity import accrInterestMaturity, DAY_CNT_BASIS_NASD

rate = .06
par = 1000.
basis = DAY_CNT_BASIS_NASD
issue = date(2000, 10, 1)
maturity = date(2000, 11, 3)

accrintm = accrInterestMaturity(issue, maturity,
                                rate, par, basis)
print("The accrued interest is $%.2f." % (accrintm))

Output¶

The accrued interest is $5.33.