Calculate accrued interest for a floating rate security which changes day type
Introduced in release: 1.2 Component: Non-US (emerging mkts) Purpose:
Calculates the accrued interest for a floating rate security which can change day type on coupon payment dates. It also returns adjusted coupon values to be passed to other routines.
Alternatives:
If cash flows are required in addition to accrued interest, use the pfdt_cfs routine instead of this 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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