aiRoundedDaysConv {bondAnalyst} | R Documentation |
Calculates the accrued interest with 30-by-360, day convention.
aiRoundedDaysConv(cPmt, bfrStlDt, stlDt, elpsMnths, daysBtwnCpns)
cPmt |
A number. |
bfrStlDt |
A character. |
stlDt |
A character. |
elpsMnths |
A number. |
daysBtwnCpns |
A number. |
There are different conventions used in bond markets to count days for valuation purposes. The two most common day-count conventions are actual-by-actual and 30-by-360. The 30-by-360 day-count convention often is used on corporate bonds. It assumes that each month has 30 days and that a full year has 360 days. Therefore, for this method, there are assumed to be 42 days between 15 May and 27 June: 15 days between 15 May and 30 May and 27 days between 1 June and 27 June. There are assumed to be 180 days (for being used as days between two semi-annual coupon payments) in the six-month period between 15 May and 15 November. So, the accrued interest at a 4.375 percent, for a semi-annual payment corporate bond is 0.510417 per 100 of par value (Adams & Smith, 2019).
Based on this, the method aiRoundedDaysConv()
is developed to compute the accrued interest with 30-by-360 day convention. So, aiRoundedDaysConv()
gives accrued interest with 30-by-360 day convention for values passed to its five arguments. Here, cPmt
is dollar value of Coupon Payment, bfrStlDt
is date of interest payment before settlement date, stlDt
is Settlement Date, elpsMnths
denotes number of months elapsed from day of last coupon payment to the bfrStlDt
(so in this example number of months from last coupon payment to June 15, 2019), and daysBtwnCpns
denotes number of days between two coupon payments. The output is rounded off to six decimal places.
Input values to four arguments cPmt
, bfrStlDt
stlDt
and elpsMnths
.
MaheshP Kumar, maheshparamjitkumar@gmail.com
Adams,J.F. & Smith,D.J.(2019). Introduction to fixed-income valuation. In CFA Program Curriculum 2020 Level I Volumes 1-6. (Vol. 5, pp. 107-151). Wiley Professional Development (P&T). ISBN 9781119593577, https://bookshelf.vitalsource.com/books/9781119593577
aiRoundedDaysConv(4.375, as.Date("2019-6-15"), as.Date("2019-6-27"),1,180)