Calculate Italian government bond accrued interest
Introduced in release: 1.0 Component: Non-US (developed mkts) Purpose:
Calculates the accrued interest for a Italian government regular bond or odd first coupon bond. Specifically it will perform accrued interest calculations for BTPs, CTOs, CCTs, and CTEs. It also returns adjusted first coupon values to be passed to other routines.
Special Considerations:
Italian government bonds interest accrual is from previous coupon date (inclusive) to settlement date (inclusive). In this routine that is interpreted to mean that the number of days accrued is calculated then one day is added (number of days + 1). An alternative interpretation is that the value date is the day after the settlement date. This method is used in the itgb_ai routine.
Alternatives:
If price and/or yield are required in addition to accrued interest, use the itgb_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 itgb_risk routine.
Results:
All results are calculated using the industry standard rules or generally accepted practices. The function returns the accrued interest 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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