IMSL Mathematics Reference Guide > Special Functions > ACCR_INT_MAT Function (PV-WAVE Advantage)
  

ACCR_INT_MAT Function (PV-WAVE Advantage)
Evaluates the interest which has accrued on a security that pays interest at maturity.
Usage
result = ACCR_INT_MAT(issue, maturity, coupon_rate, par_value, basis)
Input Parameters
issue—The date on which interest starts accruing. For a more detailed discussion on dates see Chapter 8, Working with Date/Time Data in the PV‑WAVE User’s Guide.
maturity—The date on which the bond comes due, and principal and accrued interest are paid. For a more detailed discussion on dates see Chapter 8, Working with Date/Time Data in the PV‑WAVE User’s Guide.
coupon_rate—Annual interest rate set forth on the face of the security; the coupon rate.
par_value—Nominal or face value of the security used to calculate interest payments.
basis—The method for computing the number of days between two dates. It should be either 0, 1, 2, 3 or 4.
*0—Actual/Actual
*1—US (NASD) 30/360
*2—Actual/360
*3—Actual/365
*4—European 30/360
Returned Value
result—The interest which has accrued on a security that pays interest at maturity. If no result can be computed, NaN is returned.
Input Keywords
Double—If present and nonzero, double precision is used.
Discussion
Function ACCR_INT_MAT computes the accrued interest for a security that pays interest at maturity:
In the above equation, A represents the number of days starting at issue date to maturity date and D represents the annual basis.
Example
In this example, ACCR_INT_MAT computes the accrued interest for a security that pays interest at maturity using the US (NASD) 30/360 day count method. The security has a par value of $1,000, the issue date of October 1, 2000, the maturity date of November 3, 2000, and a coupon rate of 6%.
issue = VAR_TO_DT(2000, 10, 1)
maturity = VAR_TO_DT(2000, 11, 3)
rate = .06
par = 1000.
basis = 1
PRINT, ACCR_INT_MAT(issue, maturity, rate, par, basis)
; PV-WAVE prints: 5.33333

Version 2017.0
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