AIFACTOR_IAM
Updated: 11 May 2012
Use the scalar-valued function AIFACTOR_IAM to calculate the Accrued Interest Factor for an Interest-at-Maturity security. AIFACTOR_IAM returns a decimal value which can then be multiplied by the face amount of the bond to return the monetary value of the accrued interest.
Syntax
SELECT [wctFinancial].[wct].[AIFACTOR_IAM] (
<@Basis, nvarchar(4000),>
,<@Rate, float,>
,<@IssueDate, datetime,>
,<@Settlement, datetime,>
,<@Maturity, datetime,>
,<@Holidays, nvarchar(max),>)
Arguments
@Basis
the day-count convention used in the calculation of the accrued coupon interest. @Basis is an expression of the character string data type category.
|
@Basis
|
Day count basis
|
|
0 or omitted
|
US (NASD) 30/360
|
|
2
|
Actual/360
|
|
3
|
Actual/365
|
|
4
|
European 30/360
|
|
5
|
30/360 ISDA
|
|
7
|
NL/365
|
|
8
|
NL/360
|
|
9
|
A/364
|
|
10
|
US (NASD) 30/360 non-end-of-month
|
|
12
|
Actual/360 non-end-of-month
|
|
13
|
Actual/365 non-end-of-month
|
|
14
|
European 30/360 non-end-of-month
|
|
15
|
30/360 ISDA non-end-of-month
|
|
17
|
NL/365 non-end-of-month
|
|
18
|
NL/360 non-end-of-month
|
|
19
|
A/364 non-end-of-month
|
@Rate
the coupon rate, as a decimal, for the financial instrument. @Rate is an expression of type float or of a type that can be implicitly converted to float.
@IssueDate
the first interest accrual date for the security. @IssueDate is an expression of type datetime or of a type that can be implicitly converted to datetime.
@Settlement
the settlement date of the transaction. @Settlement is an expression of type datetime or of a type that can be implicitly converted to datetime.
@Maturity
the maturity date for the financial instrument. @Maturity is an expression of type datetime or of a type that can be implicitly converted to datetime.
@Holidays
a comma separated string containing the holiday (non-business) dates to be used in the calculation of the number of business days. You can use the aggregate function NDB to create an appropriately formatted string.
Return Type
float
Remarks
· For more information on accrual calculations, go to AIFACTOR.
· @Settlement must be greater than or equal to @IssueDate and less than or equal to @Maturity.
Examples
This is a bond issued on 01-Mar-2012, settling on 21-May-2012 with a maturity date of 01-Jul-2012. The bond has an interest rate of 0.50% and interest is calculated using the Actual / 360 day-count convention.
SELECT wct.AIFACTOR_IAM(
2 --Basis
,.005 --Rate
,'2012-03-01' --Issue Date
,'2012-05-21' --Settlement
,'2012-07-01' --Maturity
,NULL --Holidays
) as [Accrued Interest]
This produces the following result.
Accrued Interest
----------------------
0.001125
If we had purchased 100,000,000 face amount of the previous bond, the monetary value of the accrued interest would be:
SELECT wct.AIFACTOR_IAM(
2 --Basis
,.005 --Rate
,'2012-03-01' --Issue Date
,'2012-05-21' --Settlement
,'2012-07-01' --Maturity
,NULL --Holidays
) * 100000000 as [Accrued Interest]
This produces the following result.
Accrued Interest
----------------------
112500
Here we look at the same bound across a variety of day count conventions.
SELECT dcm
,wct.AIFACTOR_IAM(
dcm --Basis
,.005 --Rate
,'2012-03-01' --Issue Date
,'2012-05-21' --Settlement
,'2012-07-01' --Maturity
,NULL --Holidays
) * 100000000 as [Accrued Interest]
FROM (
SELECT 0 UNION ALL --US (NASD) 30/360
SELECT 2 UNION ALL --Actual/360
SELECT 3 UNION ALL --Actual/365
SELECT 4 UNION ALL --European 30/360
SELECT 5 UNION ALL --30/360 ISDA
SELECT 7 UNION ALL --NL/365
SELECT 8 UNION ALL --NL/360
SELECT 9 UNION ALL --A/364
SELECT 10 UNION ALL --US (NASD) 30/360 non-end-of-month
SELECT 12 UNION ALL --Actual/360 non-end-of-month
SELECT 13 UNION ALL --Actual/365 non-end-of-month
SELECT 14 UNION ALL --European 30/360 non-end-of-month
SELECT 15 UNION ALL --30/360 ISDA non-end-of-month
SELECT 17 UNION ALL --NL/365 non-end-of-month
SELECT 18 UNION ALL --NL/360 non-end-of-month
SELECT 19 --A/364 non-end-of-month
) n(dcm)
This produces the following result.
dcm Accrued Interest
----------- ----------------------
0 111111.111111111
2 112500
3 110958.904109589
4 111111.111111111
5 111111.111111111
7 110958.904109589
8 112500
9 111263.736263736
10 111111.111111111
12 112500
13 110958.904109589
14 111111.111111111
15 111111.111111111
17 110958.904109589
18 112500
19 111263.736263736
See Also