AIFACTOR_OLC

Updated 2023-10-06 11:56:42.617000

Syntax

SELECT [westclintech].[wct].[AIFACTOR_OLC] (
  <@Basis, nvarchar(4000),>
 ,<@Rate, float,>
 ,<@LastCouponDate, datetime,>
 ,<@Settlement, datetime,>
 ,<@MaturityDate, datetime,>
 ,<@Frequency, int,>
 ,<@Holidays, nvarchar(max),>)

Description

Use the scalar-valued function AIFACTOR_OLC to calculate the Accrued Interest Factor for a bond during its odd last coupon period. AIFACTOR_OLC 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 for the odd last period.

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":"1","Day count basis":"Actual/Actual"},{"@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":"6","Day count basis":"NL/ACT"},{"@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":"11","Day count basis":"Actual/Actual 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":"16","Day count basis":"NL/ACT 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"},{"@Basis":"20","Day count basis":"BUS/252"},{"@Basis":"21","Day count basis":"Actual/ISDA"},{"@Basis":"22","Day count basis":"Actual/ISMA"},{"@Basis":"23","Day count basis":"Actual/365L"},{"@Basis":"24","Day count basis":"Actual/AFB"},{"@Basis":"30","Day count basis":"BUS/252 non-end-of-month"}]}

@Frequency

the number of coupon payments per year. For annual payments, @Frequency = 1; for semi-annual, @Frequency = 2; for quarterly, @Frequency = 4; for monthly, @Frequency = 12. @Frequency is an expression of type float or of a type that can be implicitly converted to float.

@LastCouponDate

the start date for the odd last coupon period. @LastCouoponDate is an expression of type datetime or of a type that can be implicitly converted to datetime.

@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.

@MaturityDate

the maturity date for the bond. When the settlement date occurs on the maturity date, the factor returned will be for the entire last coupon period. @MaturityDate 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.

@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 NBD to create an appropriately formatted string.

Return Type

float

Remarks

@Settlement must be less than or equal to @Maturity.

@Settlement must be greater than or equal to @LastInterestDate.

If @Settlement = @LastInterestDate then the function returns zero.

For bonds where the settlement date is before the last interest date, use AIFACTOR or AIFACTOR_RPI.

For bonds where the settlement date is in an odd first coupon period, use AIFACTOR or AIFACOR_OFC.

For more information on accrual calculations, see AIFACTOR.

Examples

In this example, we show the calculation of the accrued interest factor for the entire last coupon period for all the supported day-count conventions. To keep the SELECT statement simple, we have put the holidays into a scalar variable up front. The holidays are only required for BUS/252 and BUS/252 NON-EOM day-count conventions.

DECLARE @h as varchar(max);

SET @h

    = '20110101,20110307,20110308,20110421,20110422,20110501,20110623,20110907,

              20111012,20111102,20111115,20111225,20120101,20120220,20120221,

              20120406,20120421,20120501,20120607,20120907,20121012,20121102,

              20121115,20121225';

SELECT n.Description,

       wct.AIFACTOR_OLC(   n.basis,      --Basis

                           .10,          --Rate

                           '2011-07-15', --Last Coupon Date

                           '2012-06-30', --Settlement Date

                           '2012-06-30', --Maturity Date

                           2,            --Frequency

                           @h            --Holidays

                       ) * 10000 as [Interest]

FROM

(

    SELECT 0,

           'BOND'

    UNION ALL

    SELECT 1,

           'Actual / Actual'

    UNION ALL

    SELECT 2,

           'Actual / 360'

    UNION ALL

    SELECT 3,

           'Actual / 365'

    UNION ALL

    SELECT 4,

           '30E / 360'

    UNION ALL

    SELECT 5,

           '30 / 360 ISDA'

    UNION ALL

    SELECT 6,

           'NL / ACT'

    UNION ALL

    SELECT 7,

           'NL / 365'

    UNION ALL

    SELECT 8,

           'NL / 360'

    UNION ALL

    SELECT 9,

           'Actual / 364'

    UNION ALL

    SELECT 10,

           'BOND NON-EOM'

    UNION ALL

    SELECT 11,

           'Actual / Actual NON-EOM'

    UNION ALL

    SELECT 12,

           'Actual / 360 NON-EOM'

    UNION ALL

    SELECT 13,

           'Actual / 365 NON-EOM'

    UNION ALL

    SELECT 14,

           '30E / 360 NON-EOM'

    UNION ALL

    SELECT 15,

           '30 / 360 ISDA NON-EOM'

    UNION ALL

    SELECT 16,

           'NL / ACT NON-EOM'

    UNION ALL

    SELECT 17,

           'NL / 365 NON-EOM'

    UNION ALL

    SELECT 18,

           'NL / 360 NON-EOM'

    UNION ALL

    SELECT 19,

           'Actual / 364 NON-EOM'

    UNION ALL

    SELECT 20,

           'BUS / 252'

    UNION ALL

    SELECT 21,

           'Actual / ISDA'

    UNION ALL

    SELECT 22,

           'Actual / ISMA'

    UNION ALL

    SELECT 23,

           'Actual / 365L'

    UNION ALL

    SELECT 24,

           'Actual / AFB'

    UNION ALL

    SELECT 30,

           'BUS / 252 NON-EOM'

) n(basis, Description);

This produces the following result.

{"columns":[{"field":"Description"},{"field":"Interest","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"}],"rows":[{"Description":"BOND","Interest":"958.333333333333"},{"Description":"Actual / Actual","Interest":"958.791208791209"},{"Description":"Actual / 360","Interest":"975"},{"Description":"Actual / 365","Interest":"961.643835616438"},{"Description":"30E / 360","Interest":"958.333333333333"},{"Description":"30 / 360 ISDA","Interest":"958.333333333333"},{"Description":"NL / ACT","Interest":"958.563535911602"},{"Description":"NL / 365","Interest":"958.904109589041"},{"Description":"NL / 360","Interest":"972.222222222222"},{"Description":"Actual / 364","Interest":"964.285714285714"},{"Description":"BOND NON-EOM","Interest":"958.333333333333"},{"Description":"Actual / Actual NON-EOM","Interest":"958.791208791209"},{"Description":"Actual / 360 NON-EOM","Interest":"975"},{"Description":"Actual / 365 NON-EOM","Interest":"961.643835616438"},{"Description":"30E / 360 NON-EOM","Interest":"958.333333333333"},{"Description":"30 / 360 ISDA NON-EOM","Interest":"958.333333333333"},{"Description":"NL / ACT NON-EOM","Interest":"958.563535911602"},{"Description":"NL / 365 NON-EOM","Interest":"958.904109589041"},{"Description":"NL / 360 NON-EOM","Interest":"972.222222222222"},{"Description":"Actual / 364 NON-EOM","Interest":"964.285714285714"},{"Description":"BUS / 252","Interest":"949.351300614094"},{"Description":"Actual / ISDA","Interest":"960.288943783217"},{"Description":"Actual / ISMA","Interest":"958.791208791209"},{"Description":"Actual / 365L","Interest":"959.016393442623"},{"Description":"Actual / AFB","Interest":"960.39374204656"},{"Description":"BUS / 252 NON-EOM","Interest":"949.351300614094"}]}

In this example, we show the calculation of the accrued interest factor for each of the day-count conventions for the last interest date, the last day of the year within the odd coupon period, and for a date in the following year in the odd coupon period.

DECLARE @h as varchar(max);

SET @h

    = '20110101,20110307,20110308,20110421,20110422,20110501,20110623,20110907,

              20111012,20111102,20111115,20111225,20120101,20120220,20120221,

              20120406,20120421,20120501,20120607,20120907,20121012,20121102,

              20121115,20121225';

SELECT Description,

       [2011-07-15],

       [2011-12-31],

       [2012-04-01]

FROM

(

    SELECT n.Description,

           n.basis,

           m.sd,

           CAST(wct.AIFACTOR_OLC(   n.basis,      --Basis

                                    .10,          --Rate

                                    '2011-07-15', --Issue Date

                                    m.sd,         --Settlement Date

                                    '2012-06-30', --First Interest Date

                                    2,            --Frequency

                                    @h            --Holidays

                                ) * 10000 as money) as [Interest]

    FROM

    (

        SELECT 0,

               'BOND'

        UNION ALL

        SELECT 1,

               'Actual / Actual'

        UNION ALL

        SELECT 2,

               'Actual / 360'

        UNION ALL

        SELECT 3,

               'Actual / 365'

        UNION ALL

        SELECT 4,

               '30E / 360'

        UNION ALL

        SELECT 5,

               '30 / 360 ISDA'

        UNION ALL

        SELECT 6,

               'NL / ACT'

        UNION ALL

        SELECT 7,

               'NL / 365'

        UNION ALL

        SELECT 8,

               'NL / 360'

        UNION ALL

        SELECT 9,

               'Actual / 364'

        UNION ALL

        SELECT 10,

               'BOND NON-EOM'

        UNION ALL

        SELECT 11,

               'Actual / Actual NON-EOM'

        UNION ALL

        SELECT 12,

               'Actual / 360 NON-EOM'

        UNION ALL

        SELECT 13,

               'Actual / 365 NON-EOM'

        UNION ALL

        SELECT 14,

               '30E / 360 NON-EOM'

        UNION ALL

        SELECT 15,

               '30 / 360 ISDA NON-EOM'

        UNION ALL

        SELECT 16,

               'NL / ACT NON-EOM'

        UNION ALL

        SELECT 17,

               'NL / 365 NON-EOM'

        UNION ALL

        SELECT 18,

               'NL / 360 NON-EOM'

        UNION ALL

        SELECT 19,

               'Actual / 364 NON-EOM'

        UNION ALL

        SELECT 20,

               'BUS / 252'

        UNION ALL

        SELECT 21,

               'Actual / ISDA'

        UNION ALL

        SELECT 22,

               'Actual / ISMA'

        UNION ALL

        SELECT 23,

               'Actual / 365L'

        UNION ALL

        SELECT 24,

               'Actual / AFB'

        UNION ALL

        SELECT 30,

               'BUS / 252 NON-EOM'

    ) n(basis, Description)

        CROSS APPLY

    (

        SELECT '2011-07-15'

        UNION ALL

        SELECT '2011-12-31'

        UNION ALL

        SELECT '2012-04-01'

    ) m(sd)

) d

PIVOT

(

    min(INTEREST)

    FOR sd in ([2011-07-15], [2011-12-31], [2012-04-01])

) as P

ORDER by basis;