Calculates accrued interest for a periodic payment floating rate security specifying denominator (year)
Introduced in release: 1.3 Component: Non-US (emerging mkts) 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 based on the given year basis.
Notes:
Of special interest is flt_yrbasis = 11. This in combination with day_type = 1 allows for periods which span year boundaries and uses the days in each year for calculations.
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.
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