AIFACTOR_IAM

Updated 2023-10-06 11:53:53.850000

Syntax

SELECT [wctFinancial].[wct].[AIFACTOR_IAM] (
  <@Basis, nvarchar(4000),>
 ,<@Rate, float,>
 ,<@IssueDate, datetime,>
 ,<@Settlement, datetime,>
 ,<@Maturity, datetime,>
 ,<@Holidays, nvarchar(max),>);

Description

Use the scalar-valued function AIFACTOR_IAM to calculate the Accrued Interest Factor for an Interest-at-Maturity security. AIFACTOR_IAM returns a decimal value which can then be multiplied by the face amount of the bond to return the monetary value of the accrued interest.

Arguments

@Basis

the day-count convention used in the calculation of the accrued coupon interest. @Basis is an expression of the character string data type category.

{"columns":[{"field":"@Basis","width":139},{"field":"Day count basis","width":396}],"rows":[{"@Basis":"0 or omitted","Day count basis":"US (NASD) 30/360"},{"@Basis":"2","Day count basis":"Actual/360"},{"@Basis":"3","Day count basis":"Actual/365"},{"@Basis":"4","Day count basis":"European 30/360"},{"@Basis":"5","Day count basis":"30/360 ISDA"},{"@Basis":"7","Day count basis":"NL/365"},{"@Basis":"8","Day count basis":"NL/360"},{"@Basis":"9","Day count basis":"A/364"},{"@Basis":"10","Day count basis":"US (NASD) 30/360 non-end-of-month"},{"@Basis":"12","Day count basis":"Actual/360 non-end-of-month"},{"@Basis":"13","Day count basis":"Actual/365 non-end-of-month"},{"@Basis":"14","Day count basis":"European 30/360 non-end-of-month"},{"@Basis":"15","Day count basis":"30/360 ISDA non-end-of-month"},{"@Basis":"17","Day count basis":"NL/365 non-end-of-month"},{"@Basis":"18","Day count basis":"NL/360 non-end-of-month"},{"@Basis":"19","Day count basis":"A/364 non-end-of-month"}]}

@Rate

the coupon rate, as a decimal, for the financial instrument. @Rate is an expression of type float or of a type that can be implicitly converted to float.

@IssueDate

the first interest accrual date for the security. @IssueDate is an expression of type datetime or of a type that can be implicitly converted to datetime.

@Settlement

the settlement date of the transaction. @Settlement is an expression of type datetime or of a type that can be implicitly converted to datetime.

@Maturity

the maturity date for the financial instrument. @Maturity is an expression of type datetime or of a type that can be implicitly converted to datetime.

@Holidays

a comma separated string containing the holiday (non-business) dates to be used in the calculation of the number of business days. You can use the aggregate function NDB to create an appropriately formatted string.

Return Type

float

Remarks

For more information on accrual calculations, go to AIFACTOR.

@Settlement must be greater than or equal to @IssueDate and less than or equal to @Maturity.

Examples

This is a bond issued on 01-Mar-2012, settling on 21-May-2012 with a maturity date of 01-Jul-2012. The bond has an interest rate of 0.50% and interest is calculated using the Actual / 360 day-count convention.

SELECT wct.AIFACTOR_IAM(   2,            --Basis

                           .005,         --Rate

                           '2012-03-01', --Issue Date

                           '2012-05-21', --Settlement

                           '2012-07-01', --Maturity

                           NULL          --Holidays

                       ) as [Accrued Interest];

This produces the following result.

{"columns":[{"field":"Accrued Interest","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"}],"rows":[{"Accrued Interest":"0.001125"}]}

If we had purchased 100,000,000 face amount of the previous bond, the monetary value of the accrued interest would be:

SELECT wct.AIFACTOR_IAM(   2,            --Basis

                           .005,         --Rate

                           '2012-03-01', --Issue Date

                           '2012-05-21', --Settlement

                           '2012-07-01', --Maturity

                           NULL          --Holidays

                       ) * 100000000 as [Accrued Interest];

This produces the following result.

{"columns":[{"field":"Accrued Interest","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"}],"rows":[{"Accrued Interest":"112500"}]}

Here we look at the same bound across a variety of day count conventions.

SELECT dcm,

       wct.AIFACTOR_IAM(   dcm,          --Basis

                           .005,         --Rate

                           '2012-03-01', --Issue Date

                           '2012-05-21', --Settlement

                           '2012-07-01', --Maturity

                           NULL          --Holidays

                       ) * 100000000 as [Accrued Interest]

FROM

(

    SELECT 0

    UNION ALL --US (NASD) 30/360

    SELECT 2

    UNION ALL --Actual/360

    SELECT 3

    UNION ALL --Actual/365

    SELECT 4

    UNION ALL --European 30/360

    SELECT 5

    UNION ALL --30/360 ISDA

    SELECT 7

    UNION ALL --NL/365

    SELECT 8

    UNION ALL --NL/360

    SELECT 9

    UNION ALL --A/364

    SELECT 10

    UNION ALL --US (NASD) 30/360 non-end-of-month

    SELECT 12

    UNION ALL --Actual/360 non-end-of-month

    SELECT 13

    UNION ALL --Actual/365 non-end-of-month

    SELECT 14

    UNION ALL --European 30/360 non-end-of-month

    SELECT 15

    UNION ALL --30/360 ISDA non-end-of-month

    SELECT 17

    UNION ALL --NL/365 non-end-of-month

    SELECT 18

    UNION ALL --NL/360 non-end-of-month

    SELECT 19 --A/364 non-end-of-month

) n(dcm);

This produces the following result.

{"columns":[{"field":"dcm","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"},{"field":"Accrued Interest","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"}],"rows":[{"dcm":"0","Accrued Interest":"111111.111111111"},{"dcm":"2","Accrued Interest":"112500"},{"dcm":"3","Accrued Interest":"110958.904109589"},{"dcm":"4","Accrued Interest":"111111.111111111"},{"dcm":"5","Accrued Interest":"111111.111111111"},{"dcm":"7","Accrued Interest":"110958.904109589"},{"dcm":"8","Accrued Interest":"112500"},{"dcm":"9","Accrued Interest":"111263.736263736"},{"dcm":"10","Accrued Interest":"111111.111111111"},{"dcm":"12","Accrued Interest":"112500"},{"dcm":"13","Accrued Interest":"110958.904109589"},{"dcm":"14","Accrued Interest":"111111.111111111"},{"dcm":"15","Accrued Interest":"111111.111111111"},{"dcm":"17","Accrued Interest":"110958.904109589"},{"dcm":"18","Accrued Interest":"112500"},{"dcm":"19","Accrued Interest":"111263.736263736"}]}

AIFACTOR_IAM

Syntax

Description

Arguments

@Basis

@Rate

@IssueDate

@Settlement

@Maturity

@Holidays

Return Type

Remarks

Examples

See Also