Login     Register

        Contact Us     Search

XLeratorDB/financial Documentation

SQL Server accrued interest function for stepped-rate bonds


ODDLINT

Updated: 30 June 2014


Use
ODDLINT to calculate the accrued for a bond with an odd last coupon and a par value of 100.
Syntax
SELECT [wctFinancial].[wct].[ODDLINT](
  <@Settlement, datetime,>
 ,<@Maturity, datetime,>
 ,<@Last_coupon, datetime,>
 ,<@Rate, float,>
 ,<@Frequency, float,>
 ,<@Basis, nvarchar(4000),>)
Arguments
@Settlement
the settlement date of the security. @Settlement is an expression that returns a datetime value, or a character string in date format.
@Maturity
the maturity date of the security. @ is an expression that returns a datetime value, or a character string in date format.
@Last_coupon
the last coupon date of the security prior to the maturity. The period from the last interest date until the maturity date defines the odd interest period. All previous coupon dates are assumed to occur at regular periodic intervals as defined by @Frequency. @Last_coupon is an expression that returns a datetime 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 an error is returned.
·         If @Rate is NULL then NULL is returned.
·         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 ODDLINT returns an error.
·         If @Basis is invalid (see above list), ODDLINT returns an error.
·         If @Maturity is NULL then an error is returned.
·         If @Last_coupon is NULL then an error is returned.
Example
This is a bond with an odd short last coupon period where the settlement date is in the last period.
 
SELECT
   wct.ODDLINT(
      '2014-10-01',     --@Settlement
      '2014-12-15',     --@Maturity
      '2014-09-15',     --@Last_interest
      0.0225,           --@Rate
      2,                --@Frequency
      1                 --@Basis
      ) as Accrued
This produces the following result.
               Accrued
----------------------
    0.0994475138121547


This is a bond with an odd long last coupon period where the settlement date is in the last period.
 
SELECT
   wct.ODDLINT(
      '2014-10-01',     --@Settlement
      '2014-12-15',     --@Maturity
      '2014-03-15',     --@Last_interest
      0.0225,           --@Rate
      2,                --@Frequency
      1                 --@Basis
      ) as Accrued
This produces the following result.
               Accrued
----------------------
      1.22444751381215


This is a bond with an odd short last coupon period where the settlement date is prior to the last coupon date.
 
SELECT
   wct.ODDLINT(
      '2014-10-01',     --@Settlement
      '2034-12-15',     --@Maturity
      '2034-09-15',     --@Last_interest
      0.0425,           --@Rate
      2,                --@Frequency
      1                 --@Basis
      ) as Accrued
This produces the following result.
               Accrued
----------------------
     0.187845303867403


This is a bond with an odd long last coupon period where the settlement date is prior to the last coupon date.
 
SELECT
   wct.ODDLINT(
      '2014-10-01',     --@Settlement
      '2034-12-15',     --@Maturity
      '2034-03-15',     --@Last_interest
      0.0425,           --@Rate
      2,                --@Frequency
      1                 --@Basis
      ) as Accrued
This produces the following result.
               Accrued
----------------------
     0.187845303867403


This is an example of a bond paying interest every 26 weeks.
SELECT
   wct.ODDLINT(
      '2014-10-04',     --@Settlement
      '2014-12-15',     --@Maturity
      '2014-06-01',     --@Last_interest
      0.1250,           --@Rate
      182,              --@Frequency
      9                 --@Basis
   ) as Interest
This produces the following result.
              Interest
----------------------
      4.29258241758242

 

See Also

 



Copyright 2008-2013 WestClinTech LLC         Privacy Policy        Terms of Service