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XLeratorDB/financial Documentation

SQL Server accrued compound interest function


COMPINT

Updated: 30 November 2013


Use the scalar function COMPINT to calculate the accrued interest for a security where interest is compounded periodically and paid at maturity.

Where:
R = the coupon interest rate as a decimal
M = the number of compounding periods per year
N = the number of whole coupons prior to the settlement date
A = the number of accrued days in the coupon period in which the settlement occurs
E = the number of days as specified by the basis code for the coupon period in which the settlement occurs.
Syntax
SELECT [wctFinancial].[wct].[COMPINT](
  <@Basis, nvarchar(4000),>
 ,<@Rate, float,>
 ,<@IssueDate, datetime,>
 ,<@Settlement, datetime,>
 ,<@Maturity, datetime,>
 ,<@CompFreq, int,>)
Arguments
@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
US (NASD) 30/360
1
Actual/Actual
2
Actual/360
3
Actual/365
4
European 30/360
@Rate
the coupon rate of the security expressed in decimal terms. @Rate is an expression of type float or of a type that can be implicitly converted to float.
@IssueDate
the issue date of the security; the first interest accrual date. @IssueDate is an expression of a datetime data type or of a type that can be implicitly converted to datetime.
@Settlement
the settlement date occurring within a coupon period of the security; interest is accrued from @IssueDate through to @Settlement. @Settlement is an expression of a datetime data type or of a type that can be implicitly converted to datetime.
@Maturity
the maturity date of the bond. @Maturity is used to determine the coupon dates. @Maturity is an expression of a datetime data type or of a type that can be implicitly converted to datetime.
@CompFreq
the number of times the coupon is compounded annually. For annual compounding, @CompFreq = 1; for semi-annual, @CompFreq = 2; for quarterly, @CompFreq = 4, and for monthly, @CompFreq = 12. @CompFreq is an expression of type float or of a type that can be implicitly converted to float.
Return Type
float
Remarks
·         If @CompFreq not 1, 2, 4, or 12 an error will be returned.
·         @Issuedate <= @Settlement <= @Maturity.
·         For bonds with an odd first or an odd last coupon period (or both), use ODDCOMPINT.
·         COMPINT returns a factor. To calculate the monetary value of the accrued interest, you should multiply this factor by the face amount of the bond.
Examples
A 3-year bond, compounding monthly, with settlement in the first coupon period. Interest is accrued on an actual/actual basis.
SELECT wct.COMPINT(
       1                --@Basis
      ,.0175            --@Rate
      ,'2013-11-15'     --@IssueDate
      ,'2013-11-29'     --@Settelemt
      ,'2016-11-15'     --@Maturity
      ,12               --@CompFreq
      ) as COMPINT

This produces the following result.
               COMPINT
----------------------
 0.000680555555555573
 


The same bond, settling 1 year later.
SELECT wct.COMPINT(
       1                --@Basis
      ,.0175            --@Rate
      ,'2013-11-15'     --@IssueDate
      ,'2014-11-29'     --@Settelemt
      ,'2016-11-15'     --@Maturity
      ,12               --@CompFreq
      ) as COMPINT

This produces the following result.
               COMPINT
----------------------
    0.0183336104248544


By entering the maturity date as the settlement date, we can calculate the total amount of the compound interest at maturity.
SELECT wct.COMPINT(
       1                --@Basis
      ,.0175            --@Rate
      ,'2013-11-15'     --@IssueDate
      ,'2016-11-15'     --@Settelemt
      ,'2016-11-15'     --@Maturity
      ,12               --@CompFreq
      ) as COMPINT

This produces the following result.
               COMPINT
----------------------
    0.0538622573229668
 

 

See Also

 



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