Calculates accrued interest for a periodic payment floating rate security
Introduced in release: 1.0 Component: Generic Purpose:
Given an array of coupon dates (with the last entry assumed to be the maturity date) and an array pair of projected coupon rate changes and their corresponding dates this routine will calculate the accrued interest.
Alternatives:
For Act/Act day type you may want to specify how the number of days in the year (denominator) is calculated. pfyb_ai will allow you to specify a flt_yrbasis.
Results:
All results are 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.
Main Index
TIPS Home