Calculate adjusted accrued interest for a French OATi
Introduced in release: 1.996 Component: Non-US (developed mkts) Purpose:
Calculates the accrued interest for a French OATi index linked bond. Specifically it will perform accrued interest calculations for a French OATi which is linked to CPI and is a regular bond or odd first coupon bond. It also returns adjusted first coupon values to be passed to other routines.
Special Considerations:
The accrued interest returned as the value of the function is the adjusted accrued interest. The real coupon accrued interest is returned as ai.
Alternatives:
If price and/or yield are required in addition to accrued interest, use the froi_inf_py routine instead of this routine. If price and/or yield, current yield, estimated Macaulay duration, estimated convexity, interest on interest, etc. are required in addition to accrued interest, use the froi_inf_rsk routine.
Notes:
The maturity date used by this routine can be a maturity/redemption date.
Results:
All results are calculated using the industry standard rules or generally accepted practices. The function returns the accrued interest, adjusted for inflation, per 100 of maturity value, accurate to as many places as supported by a double precision value.
Error Conditions:
Returned values should be ignored for a non-zero status. See Errors.
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