Calculate UK government bond (Gilts) accrued interest
Introduced in release: 1.0 Component: Non-US (developed mkts) Purpose:
Calculates the accrued interest for a UK government regular bond or odd first coupon bond. It also returns adjusted first coupon values to be passed to other routines.
Special Considerations:
This routine takes into consideration partial payments in the first period.
This function has as one of its parameters ukgb_convention_flag, a flag which specifies the convention to use in performing the calculation. The flag allows for auto determination or specification of the convention. Please review the documentation of ukgb_convention_flag for details.
Alternatives:
If price and/or yield are required in addition to accrued interest, use the ukgb_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 ukgb_risk routine.
Notes:
This routine can optionally perform its calculations considering an input ex-dividend date. To calculate an ex-dividend date use the ukgb_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.
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