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gmis_ai

gmis_ai (routine)

Calculate German government bond accrued interest (ISMA method)

Introduced in release: 1.0
Component: Non-US (developed mkts)
Purpose: Calculates the accrued interest for a German government ISMA method for a German government regular bond, odd first coupon bond, odd last coupon bond, and odd first and last coupon bond using the ISMA method. Specifically it performs calculations on Bund and Bahn, Post, Unities, and Schatze. 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 gmis_py_ai 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 gmis_risk routine.

Notes: This routine can optionally perform its calculations considering an input ex-dividend date. To calculate an ex-dividend date use the gmis_exd routine.

In addition to accrued interest, other values are returned by the routine - see outputs in Parameter Definition section.

Results: The accrued interest per 100 of maturity value is returned.

Error Conditions: Returned values should be ignored for a non-zero status. See Errors.

Last Mod Date: 03/31/1995

Doc Version: 5.0