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

@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.

@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.

@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.

@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.

@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"}]}

@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.

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"}]}

Resources

AIFACTOR_IAM

Syntax

Description

Arguments

@IssueDate

@Holidays

@Rate

@Maturity

@Basis

@Settlement

Return Type

Remarks

Examples

See Also