Returns the interest which has accrued on a security that pays interest periodically.

Namespace: Imsl.Finance
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.0.0

Syntax

C#
public static double Accrint(
	DateTime issue,
	DateTime firstCoupon,
	DateTime settlement,
	double rate,
	double par,
	Bond..::.Frequency frequency,
	DayCountBasis basis
)
Visual Basic (Declaration)
Public Shared Function Accrint ( _
	issue As DateTime, _
	firstCoupon As DateTime, _
	settlement As DateTime, _
	rate As Double, _
	par As Double, _
	frequency As Bond..::.Frequency, _
	basis As DayCountBasis _
) As Double
Visual C++
public:
static double Accrint(
	DateTime issue, 
	DateTime firstCoupon, 
	DateTime settlement, 
	double rate, 
	double par, 
	Bond..::.Frequency frequency, 
	DayCountBasis^ basis
)

Parameters

issue
Type: System..::.DateTime
The DateTime issue date of the security.
firstCoupon
Type: System..::.DateTime
The DateTime date of the security's first interest date.
settlement
Type: System..::.DateTime
The DateTime settlement date of the security.
rate
Type: System..::.Double
A double which specifies the security's annual coupon rate.
par
Type: System..::.Double
A double which specifies the security's par value.
frequency
Type: Imsl.Finance..::.Bond..::.Frequency
A int which specifies the number of coupon payments per year (1 for annual, 2 for semiannual, 4 for quarterly).
basis
Type: Imsl.Finance..::.DayCountBasis
A DayCountBasis object which contains the type of day count basis to use.

Return Value

A double which specifies the accrued interest.

Remarks

In the equation below, A_i represents the number of days which have accrued for the ith quasi-coupon period within the odd Frequency. (The quasi-coupon periods are periods obtained by extending the series of equal payment periods to before or after the actual payment periods.) {\it NC} represents the number of quasi-coupon periods within the odd period, rounded to the next highest integer. (The odd period is a period between payments that differs from the usual equally spaced periods at which payments are made.) {\it NL}_i represents the length of the normal ith quasi-coupon period within the odd Frequency. {\it NL}_i is expressed in days. Accrint solves the following:

{\it par} \left({{{\it rate} \over {\it frequency}} {\sum\limits_{i = 1}^{\it NC} {{{{A_i } \over {{\it NL}_i }}}} }} \right)

See Also