Calculate treasury security auction formula accrued interest
Introduced in release: 1.0 Component: US Bonds Purpose:
Calculates the accrued interest for Treasury bonds and Treasury notes using the U.S. treasury auction formulas. It also returns adjusted first coupon values to be passed to other routines.
Alternatives:
If price and/or yield are required in addition to accrued interest, use the auct_py_ai routine instead of this routine.
Notes:
In addition to accrued interest, other values are returned by the routine - see outputs in Parameter Definition section.
Results:
All results are calculated using the U.S. treasury auction formulas. The returned value is the accrued interest per 100 of maturity value accurate to as many places a supported by a double precision value.
Error Conditions:
Returned values should be ignored for a non-zero status. See Errors.
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