AccrInt {BondValuation}R Documentation

AccrInt (calculation of accrued interest)

Description

AccrInt returns the amount of interest accrued from some starting date up to some end date and the number of days of interest on the end date.

Usage

AccrInt(StartDate = as.Date(NA), EndDate = as.Date(NA),
  Coup = as.numeric(NA), DCC = as.numeric(NA), RV = as.numeric(NA),
  CpY = as.numeric(NA), Mat = as.Date(NA), YearNCP = as.Date(NA),
  EOM = as.numeric(NA), DateOrigin = as.Date("1970-01-01"),
  InputCheck = 1)

Arguments

StartDate

Calendar date on which interest accrual starts. Date class object with format "%Y-%m-%d". (required)

EndDate

Calendar date up to which interest accrues. Date class object with format "%Y-%m-%d". (required)

Coup

Nominal interest rate per year in percent. (required)

DCC

The day count convention for interest accrual. (required)

RV

The redemption value of the bond. Default: 100.

CpY

Number of interest payments per year (non-negative integer; element of the set {1,2,3,4,6,12}. Default: 2.

Mat

So-called "maturity date" i.e. date on which the redemption value and the final interest are paid. Date class object with format "%Y-%m-%d".

YearNCP

Year figure of the next coupon payment date after EndDate.

EOM

Boolean indicating whether the bond follows the End-of-Month rule.

DateOrigin

Determines the starting point for the daycount in "Date" objects. Default: "1970-01-01".

InputCheck

If 1, the input variables are checked for the correct format. Default: 1.

Details

DCC required input
_____________________ _____________________________________________
1,3,5,6,8,10,11,12,15,16 StartDate, EndDate, Coup, DCC, RV
2,14 StartDate, EndDate, Coup, DCC, RV, CpY, EOM
4 StartDate, EndDate, Coup, DCC, RV, CpY, EOM, YearNCP
7 StartDate, EndDate, Coup, DCC, RV, Mat
9,13 StartDate, EndDate, Coup, DCC, RV, EOM
=================== ========================================

Assuming that there is no accrued interest on StartDate the function AccrInt computes the amount of interest accrued up to EndDate under the terms of the specified day count convention DCC. The function returns a list of two numerics AccrInt, and DaysAccrued. If InputCheck = 1 the input variables are checked for the correct format. The core feature of this function is the proper handling of the day count conventions presented below. The type of the day count convention determines the amount of the accrued interest that has to be paid by the buyer in the secondary market if the settlement takes place between two coupon payment dates.

Day Count Conventions

Actual/Actual (ISDA)
___________ | ___ ________________________________________________
DCC | = 1
___________ | ___ ________________________________________________
other names | Actual/Actual, Act/Act, Act/Act (ISDA)
___________ | ___ ________________________________________________
references | ISDA (1998); ISDA (2006) section 4.16 (b)
========== | === ===========================================
Actual/Actual (ICMA)
___________ | ___ ________________________________________________
DCC | = 2
___________ | ___ ________________________________________________
other names | Actual/Actual (ISMA), Act/Act (ISMA),
| Act/Act (ICMA), ISMA-99
___________ | ___ ________________________________________________
references | ICMA Rule 251; ISDA (2006) section 4.16 (c);
| SWX (2003)
========== | === ===========================================
Actual/Actual (AFB)
___________ | ___ ________________________________________________
DCC | = 3
___________ | ___ ________________________________________________
other names | AFB Method, Actual/Actual (Euro),
| Actual/Actual AFB FBF, ACT/365-366 (leap day)
___________ | ___ ________________________________________________
references | ISDA (1998); EBF (2004)
========== | === ===========================================
Actual/365L
___________ | ___ ________________________________________________
DCC | = 4
___________ | ___ ________________________________________________
other names | Act/365-366, ISMA-Year
___________ | ___ ________________________________________________
references | ICMA Rule 251; SWX (2003)
========== | === ===========================================
30/360
___________ | ___ ________________________________________________
DCC | = 5
___________ | ___ ________________________________________________
other names | 360/360, Bond Basis, 30/360 ISDA
___________ | ___ ________________________________________________
references | ISDA (2006) section 4.16 (f);
| MSRB (2017) Rule G-33
========== | === ===========================================
30E/360
___________ | ___ ________________________________________________
DCC | = 6
___________ | ___ ________________________________________________
other names | Eurobond Basis, Special German (30S/360),
| ISMA-30/360
___________ | ___ ________________________________________________
references | ICMA Rule 251; ISDA (2006) section 4.16 (g);
| SWX (2003)
========== | === ===========================================
30E/360 (ISDA)
___________ | ___ ________________________________________________
DCC | = 7
___________ | ___ ________________________________________________
other names | none
___________ | ___ ________________________________________________
references | ISDA (2006) section 4.16 (h)
========== | === ===========================================
30/360 (German)
___________ | ___ ________________________________________________
DCC | = 8
___________ | ___ ________________________________________________
other names | 360/360 (German Master); German (30/360)
___________ | ___ ________________________________________________
references | EBF (2004); SWX (2003)
========== | === ===========================================
30/360 US
___________ | ___ ________________________________________________
DCC | = 9
___________ | ___ ________________________________________________
other names | 30/360, US (30U/360), 30/360 (SIA)
___________ | ___ ________________________________________________
references | Mayle (1993); SWX (2003)
========== | === ===========================================
Actual/365 (Fixed)
___________ | ___ ________________________________________________
DCC | = 10
___________ | ___ ________________________________________________
other names | Act/365 (Fixed), A/365 (Fixed), A/365F, English
___________ | ___ ________________________________________________
references | ISDA (2006) section 4.16 (d); SWX (2003)
========== | === ===========================================
Actual(NL)/365
___________ | ___ ________________________________________________
DCC | = 11
___________ | ___ ________________________________________________
other names | Act(No Leap Year)/365
___________ | ___ ________________________________________________
references | Krgin (2002); Thomson Reuters EIKON
========== | === ===========================================
Actual/360
___________ | ___ ________________________________________________
DCC | = 12
___________ | ___ ________________________________________________
other names | Act/360, A/360, French
___________ | ___ ________________________________________________
references | ISDA (2006) section 4.16 (e); SWX (2003)
========== | === ===========================================
30/365
___________ | ___ ________________________________________________
DCC | = 13
___________ | ___ ________________________________________________
references | Krgin (2002); Thomson Reuters EIKON
========== | === ===========================================
Act/365 (Canadian Bond)
___________ | ___ ________________________________________________
DCC | = 14
___________ | ___ ________________________________________________
references | IIAC (2018); Thomson Reuters EIKON
========== | === ===========================================
Act/364
___________ | ___ ________________________________________________
DCC | = 15
___________ | ___ ________________________________________________
references | Thomson Reuters EIKON
========== | === ===========================================
BusDay/252 (Brazilian)
___________ | ___ ________________________________________________
DCC | = 16
___________ | ___ ________________________________________________
other names | BUS/252, BD/252
___________ | ___ ________________________________________________
references | Caputo Silva et al. (2010),
| Itau Unibanco S.A. (2017)
========== | === ===========================================

Value

AccrInt

Accrued interest on EndDate, given the other characteristics.

DaysAccrued

The number of days of interest from StartDate to EndDate.

References

  1. Banking Federation of the European Union (EBF), 2004, Master Agreement for Financial Transactions - Supplement to the Derivatives Annex - Interest Rate Transactions.

  2. Caputo Silva, Anderson, Lena Oliveira de Carvalho, and Octavio Ladeira de Medeiros, 2010, Public Debt: The Brazilian Experience (National Treasury Secretariat and World Bank, Brasilia, BR).

  3. Djatschenko, Wadim, The Nitty Gritty of Bond Valuation: A Generalized Methodology for Fixed Coupon Bond Analysis Allowing for Irregular Periods and Various Day Count Conventions (November 5, 2018). Available at SSRN: https://ssrn.com/abstract=3205167.

  4. International Capital Market Association (ICMA), 2010, Rule 251 Accrued Interest Calculation - Excerpt from ICMA's Rules and Recommendations.

  5. Investment Industry Association of Canada (IIAC), 2018, Canadian Conventions in Fixed Income Markets - A Reference Document of Fixed Income Securities Formulas and Practices; Release: 1.3.

  6. International Swaps and Derivatives Association (ISDA), Inc., 1998, "EMU and Market Conventions: Recent Developments".

  7. International Swaps and Derivatives Association (ISDA), 2006, Inc., 2006 ISDA Definitions., New York.

  8. Itau Unibanco S.A., 2017, Brazilian Sovereign Fixed Income and Foreign Exchange Markets - Handbook (First Edition).

  9. Krgin, Dragomir, 2002, The Handbook of Global Fixed Income Calculations. (Wiley, New York).

  10. Mayle, Jan, 1993, Standard Securities Calculation Methods: Fixed Income Securities Formulas for Price, Yield, and Accrued Interest, volume 1, New York: Securities Industry Association, third edition.

  11. Municipal Securities Rulemaking Board (MSRB), 2017, MSRB Rule Book, Washington, DC: Municipal Securities Rulemaking Board.

  12. SWX Swiss Exchange and D. Christie, 2003, "Accrued Interest & Yield Calculations and Determination of Holiday Calendars".

Examples

StartDate<-rep(as.Date("2011-08-31"),16)
EndDate<-rep(as.Date("2012-02-29"),16)
Coup<-rep(5.25,16)
DCC<-seq(1,16)
RV<-rep(10000,16)
CpY<-rep(2,16)
Mat<-rep(as.Date("2021-08-31"),16)
YearNCP<-rep(2012,16)
EOM<-rep(1,16)

DCC_Comparison<-data.frame(StartDate,EndDate,Coup,DCC,RV,CpY,Mat,YearNCP,EOM)

AccrIntOutput<-apply(DCC_Comparison[,c('StartDate','EndDate','Coup','DCC',
'RV','CpY','Mat','YearNCP','EOM')],1,function(y) AccrInt(y[1],y[2],y[3],
y[4],y[5],y[6],y[7],y[8],y[9]))
# warnings are due to apply's conversion of the variables' classes in
# DCC_Comparison to class "character"
Accrued_Interest<-do.call(rbind,lapply(AccrIntOutput, function(x) x[[1]]))
Days_Accrued<-do.call(rbind,lapply(AccrIntOutput, function(x) x[[2]]))
DCC_Comparison<-cbind(DCC_Comparison,Accrued_Interest,Days_Accrued)
DCC_Comparison



[Package BondValuation version 0.1.0 Index]