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XLeratorDB/financial Documentation

SQL Server accrued interest function for an odd first period


ODDFINT

Updated: 31 May 2014


Use ODDFINT to calculate the accrued interest in the irst coupon period for a bond with an odd first coupon and a par value of 100.
Syntax
SELECT [wctFinancial].[wct].[ODDFINT](
  <@Settlement, datetime,>
 ,<@Maturity, datetime,>
 ,<@Issue, datetime,>
 ,<@First_coupon, datetime,>
 ,<@Rate, float,>
 ,<@Frequency, float,>
 ,<@Basis, nvarchar(4000),>)
NOTE: The 'Maturity' parameter has been added to this function in financial ver 1.13 (Suite ver 1.24)
Arguments
@Settlement
the settlement date of the security. @Settlement is an expression that returns a datetime or smalldatetime value, or a character string in date format. 
@Maturity
the maturity date of the security. @Maturity is an expression that returns a datetime or smalldatetime value, or a character string in date format. 
@Issue
the issue date of the security; the date from which the security starts accruing interest. @Issue is an expression that returns a datetime or smalldatetime value, or a character string in date format. 
@First_coupon
the first coupon date of the security. The period from the issue date until the first coupon date defines the odd interest period. All subsequent coupon dates are assumed to occur at regular periodic intervals as defined by @Frequency. @First_coupon is an expression that returns a datetime or smalldatetime value, or a character string in date format. 
@Rate
the security’s annual coupon rate. @Rate is an expression of type float or of a type that can be implicitly converted to float.
@Frequency
the number of coupon payments per year. For annual payments, @Frequency = 1; for semi-annual, @Frequency = 2; for quarterly, @Frequency = 4; for bimonthly @Frequency = 6; for monthly, @Frequency = 12. For bonds with @Basis = 'A/364' or 9, you can enter 364 for payments made every 52 weeks, 182 for payments made every 26 weeks, 91 for payments made every 13 weeks, 28 for payments made every 4 weeks, 14 for payments made every 2 weeks, and 7 for weekly payments. @Frequency is an expression of type float or of a type that can be implicitly converted to float.
@Basis
is the type of day count to use. @Basis is an expression of the character string data type category.
 
@Basis
Day count basis
0, 'BOND'
US (NASD) 30/360
1, 'ACTUAL'
Actual/Actual
2, 'A360'
Actual/360
3, 'A365'
Actual/365
4, '30E/360 (ISDA)', '30E/360', 'ISDA', '30E/360 ISDA', 'EBOND'
European 30/360
5, '30/360', '30/360 ISDA', 'GERMAN'
30/360 ISDA
6, 'NL/ACT'
No Leap Year/ACT
7, 'NL/365'
No Leap Year /365
8, 'NL/360'
No Leap Year /360
9, 'A/364'
Actual/364
10, 'BOND NON-EOM'
US (NASD) 30/360 non-end-of-month
11, 'ACTUAL NON-EOM'
Actual/Actual non-end-of-month
12, 'A360 NON-EOM'
Actual/360 non-end-of-month
13, 'A365 NON-EOM'
Actual/365 non-end-of-month
14, '30E/360 NON-EOM', '30E/360 ICMA NON-EOM', 'EBOND NON-EOM'
European 30/360 non-end-of-month
15, '30/360 NON-EOM', '30/360 ISDA NON-EOM', 'GERMAN NON-EOM'
30/360 ISDA non-end-of-month
16, 'NL/ACT NON-EOM'
No Leap Year/ACT non-end-of-month
17, 'NL/365 NON-EOM'
No Leap Year/365 non-end-of-month
18, 'NL/360 NON-EOM'
No Leap Year/360 non-end-of-month
19, 'A/364 NON-EOM'
Actual/364 non-end-of-month
Return Type
float
Remarks
·         If @Settlement is NULL then @Settlement = GETDATE().
·         If @Rate is NULL then @Rate = 0.
·         If @Frequency is NULL then @Frequency = 2.
·         If @Basis is NULL then @Basis = 0.
·         If @Frequency is any number other than 1, 2, 4, 6 or 12, or for @Basis = 'A/364' any number other than 1, 2, 4, 6, or 12 as well as 7, 14, 28, 91, 182, or 364 ODDFINT returns an error.
·         If @Basis invalid (see above list), ODDFINT returns an error.
·         If @Maturity is NULL then an error is returned.
·         If @Issue is NULL then an error is returned.
·         If @First_coupon is NULL then an error is returned.
·         If @First_coupon <= @Issue then an error is returned.
·         If @Settlement < @Issue then an error is returned.
·         If @Settlement >= @First_coupon then an error is returned.
Examples
Calculate the accrued interest for settlement on 01-Nov-2010 from a bond with odd short first coupon given the following bond characteristics.
Maturity Date: 15-Jul-2020
Issue Date: 23-Jul-2010
First Coupon Date: 15-Jan-2011
Annual Coupon: 3.0%
Coupon Payments per year: 2
Interest Basis: Actual/ Actual
 
SELECT wct.ODDFINT(
   '2010-11-01',  --@Settlement
   '2020-07-15',  --@Maturity
   '2010-07-23',  --@Issue
   '2011-01-15',  --@First_coupon
   0.03,          --@Rate
   2,             --@Frequency
   1              --@Basis
   ) as ODDFINT

This produces the following result.
               ODDFINT
----------------------
     0.823369565217391


Calculate the accrued interest for settlement on 01-Nov-2010 from a bond with odd long first coupon given the following bond characteristics.
Maturity Date: 15-Feb-2020
Issue Date: 23-Jul-2010
First Coupon Date: 15-Feb-2011
Annual Coupon: 2.75%
Coupon Payments per year: 2
Interest Basis: Actual/ Actual
 
SELECT wct.ODDFINT(
   '2010-11-01',  --@Settlement
   '2020-02-15',  --@Maturity
   '2010-07-23',  --@Issue
   '2011-02-15',  --@First_coupon
   0.0275,        --@Rate
   2,             --@Frequency
   1              --@Basis
   ) as ODDFINT

This produces the following result.
               ODDFINT
----------------------
     0.757604191688686


This is an example of a bond paying interest every 26 weeks.
SELECT
   wct.ODDFINT(
      '2014-10-04',     --@Settlement
      '2029-12-12',     --@Maturity
      '2014-03-26',     --@Issue
      '2014-12-31',     --@FirstCoupon
      0.1250,           --@Rate
      182,              --@Frequency
      9                 --@Basis
      ) as ODDFINT
This produces the following result.
               ODDFINT
----------------------
      6.59340659340659

 

See Also

 



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