calculate the accrued amount of a bond - Maple Help

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Finance[AccruedAmount] - calculate the accrued amount of a bond

Calling Sequence

AccruedAmount(bond, date)

Parameters

bond

-

fixed- or floating-rate bond data structure; bond

date

-

a string containing a date specification in a format recognized by ParseDate or a date data structure; evaluation date

Description

• 

The AccruedAmount command computes the interest that is due on a bond since the last interest payment was made. Accrued interest is added to the contract price of a bond transaction.

• 

The parameter bond is a fixed coupon bond or floating rate bond.

• 

The (optional) parameter date is the evaluation date. By default the global evaluation date is used. It can be specified in any of the standard date formats supported by the package.

• 

Note that the value returned by the AccruedAmount command depends on the day count and day rolling conventions used by bond.

Examples

withFinance:

SetEvaluationDateMarch 15, 2005:

EvaluationDate

March 15, 2005

(1)

Settingscompounding=Continuous,settlementdays=0,businessdayconvention=Unadjusted

compounding=Continuous,settlementdays=0,businessdayconvention=Unadjusted

(2)

Consider a 3-year bond with face value of 100 that pays a fixed coupon of 3 percent issued on March 15, 2005.

Principal:=100:

Coupon:=0.03:

B1:=FixedCouponBondPrincipal,3,Years,Coupon,issuedate=March 15, 2005,daycounter=Thirty360European:

Here is the same bond but using the ISDA convention.

B2:=FixedCouponBondPrincipal,3,Years,Coupon,issuedate=March 15, 2005,daycounter=ISDA:

Here is the interest accrued before the first coupon payment.

AccruedAmountB1,March 14, 2006

2.991666667

(3)

AccruedAmountB2,March 14, 2006

2.991780822

(4)

Compare this to

PrincipalCouponYearFractionMarch 15, 2005,March 14, 2006,Thirty360European

2.991666667

(5)

PrincipalCouponYearFractionMarch 15, 2005,March 14, 2006,ISDA

2.991780822

(6)

This shows the interest accrued right after the first coupon payment.

AccruedAmountB1,March 15, 2006

0.

(7)

AccruedAmountB2,March 15, 2006

0.

(8)

Here is the interest accrued two months after the first coupon payment.

AccruedAmountB1,May 16, 2006

0.5083333333

(9)

AccruedAmountB2,May 16, 2006

0.5095890411

(10)

Compare accrued interest and the difference between the clean price and the dirty price of a bond.

SetEvaluationDateMarch 14, 2006:

EvaluationDate

March 14, 2006

(11)

CleanPriceB1,0.05

96.04651941

(12)

DirtyPriceB1,0.05

99.03818607

(13)

CleanPriceB1,0.05+AccruedAmountB1=DirtyPriceB1,0.05

99.03818608=99.03818607

(14)

CleanPriceB2,0.05+AccruedAmountB2=DirtyPriceB2,0.05

99.03412275=99.03412275

(15)

SetEvaluationDateMarch 15, 2006:

EvaluationDate

March 15, 2006

(16)

CleanPriceB1,0.05

96.05194233

(17)

DirtyPriceB1,0.05

96.05194233

(18)

CleanPriceB1,0.05+AccruedAmountB1=DirtyPriceB1,0.05

96.05194233=96.05194233

(19)

CleanPriceB2,0.05+AccruedAmountB2=DirtyPriceB2,0.05

96.04769000=96.04769000

(20)

SetEvaluationDateMarch 16, 2006:

EvaluationDate

March 16, 2006

(21)

CleanPriceB1,0.05

96.05695047

(22)

DirtyPriceB1,0.05

96.06528381

(23)

CleanPriceB1,0.05+AccruedAmountB1=DirtyPriceB1,0.05

96.06528380=96.06528381

(24)

CleanPriceB2,0.05+AccruedAmountB2=DirtyPriceB2,0.05

96.06084812=96.06084812

(25)

See Also

Finance[CleanPrice], Finance[DayCounter], Finance[DirtyPrice], Finance[EvaluationDate], Finance[FixedCouponBond], Finance[FloatingRateBond], Finance[FormatDate], Finance[ParseDate], Finance[Settings], Finance[YearFraction], Finance[YieldFromCleanPrice], Finance[YieldFromDirtyPrice], Finance[ZeroCouponBond]


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