ODDFINT

Updated 2023-10-06 14:31:54.393000

Syntax

SELECT [westclintech].[wct].[ODDFINT](
  <@Settlement, datetime,>
 ,<@Maturity, datetime,>
 ,<@Issue, datetime,>
 ,<@First_coupon, datetime,>
 ,<@Rate, float,>
 ,<@Frequency, float,>
 ,<@Basis, nvarchar(4000),>)

Description

Use the scalar function ODDFINT to calculate the accrued interest in the first coupon period for a bond with an odd first coupon and a par value of 100.

Arguments

@Basis

is the type of day count to use. @Basis is an expression of the character string data type category.

{"columns":[{"field":"@Basis","width":313},{"field":"Day count basis","width":277}],"rows":[{"@Basis":"0 , 'BOND'","Day count basis":"US (NASD) 30/360"},{"@Basis":"1 , 'ACTUAL'","Day count basis":"Actual/Actual"},{"@Basis":"2 , 'A360'","Day count basis":"Actual/360"},{"@Basis":"3 , 'A365'","Day count basis":"Actual/365"},{"@Basis":"4 , '30E/360 (ISDA)' , '30E/360' , 'ISDA' , '30E/360 ISDA' , 'EBOND'","Day count basis":"European 30/360"},{"@Basis":"5 , '30/360' , '30/360 ISDA' , 'GERMAN'","Day count basis":"30/360 ISDA"},{"@Basis":"6 , 'NL/ACT'","Day count basis":"No Leap Year/ACT"},{"@Basis":"7 , 'NL/365'","Day count basis":"No Leap Year /365"},{"@Basis":"8 , 'NL/360'","Day count basis":"No Leap Year /360"},{"@Basis":"9 , 'A/364'","Day count basis":"Actual/364"},{"@Basis":"10 , 'BOND NON-EOM'","Day count basis":"US (NASD) 30/360 non-end-of-month"},{"@Basis":"11 , 'ACTUAL NON-EOM'","Day count basis":"Actual/Actual non-end-of-month"},{"@Basis":"12 , 'A360 NON-EOM'","Day count basis":"Actual/360 non-end-of-month"},{"@Basis":"13 , 'A365 NON-EOM'","Day count basis":"Actual/365 non-end-of-month"},{"@Basis":"14 , '30E/360 NON-EOM' , '30E/360 ICMA NON-EOM' , 'EBOND NON-EOM'","Day count basis":"European 30/360 non-end-of-month"},{"@Basis":"15 , '30/360 NON-EOM' , '30/360 ISDA NON-EOM' , 'GERMAN NON-EOM'","Day count basis":"30/360 ISDA non-end-of-month"},{"@Basis":"16 , 'NL/ACT NON-EOM'","Day count basis":"No Leap Year/ACT non-end-of-month"},{"@Basis":"17 , 'NL/365 NON-EOM'","Day count basis":"No Leap Year/365 non-end-of-month"},{"@Basis":"18 , 'NL/360 NON-EOM'","Day count basis":"No Leap Year/360 non-end-of-month"},{"@Basis":"19 , 'A/364 NON-EOM'","Day count basis":"Actual/364 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 bimonthly @Frequency = 6; for monthly, @Frequency = 12. For bonds with @Basis = 'A/364' or 9, you can enter 364 for payments made every 52 weeks, 182 for payments made every 26 weeks, 91 for payments made every 13 weeks, 28 for payments made every 4 weeks, 14 for payments made every 2 weeks, and 7 for weekly payments. @Frequency is an expression of type float or of a type that can be implicitly converted to float.

@Rate

the security’s annual coupon rate. @Rate is an expression of type float or of a type that can be implicitly converted to float.

@Issue

the issue date of the security; the date from which the security starts accruing interest. @Issue is an expression that returns a datetime or smalldatetime value, or a character string in date format.

@First_coupon

the first coupon date of the security. The period from the issue date until the first coupon date defines the odd interest period. All subsequent coupon dates are assumed to occur at regular periodic intervals as defined by @Frequency. @First_coupon is an expression that returns a datetime or smalldatetime value, or a character string in date format.

@Settlement

the settlement date of the security. @Settlement is an expression that returns a datetime or smalldatetime value, or a character string in date format.

@Maturity

the maturity date of the security. @Maturity is an expression that returns a datetime or smalldatetime value, or a character string in date format.

Return Type

float

Remarks

If @Settlement is NULL then @Settlement = GETDATE().

If @Rate is NULL then @Rate = 0.

If @Frequency is NULL then @Frequency = 2.

If @Basis is NULL then @Basis = 0.

If @Frequency is any number other than 1, 2, 4, 6 or 12, or for @Basis = 'A/364' any number other than 1, 2, 4, 6 or 12 as well as 7, 14, 28, 91, 182 or 364 ODDFINT returns an error.

If @Basis invalid (see above list), ODDFINT returns an error.

If @Maturity is NULL then an error is returned.

If @Issue is NULL then an error is returned.

If @First_coupon is NULL then an error is returned.

If @First_coupon <= @Issue then an error is returned.

If @Settlement < @Issue then an error is returned.

If @Settlement >= @First_coupon then an error is returned.

Examples

Calculate the accrued interest for settlement on 01-Nov-2010 from a bond with odd short first coupon given the following bond characteristics.

Maturity Date: 15-Jul-2020Issue Date: 23-Jul-2010First Coupon Date: 15-Jan-2011Annual Coupon: 3.0%Coupon Payments per year: 2Interest Basis: Actual/ Actual

SELECT wct.ODDFINT(   '2010-11-01', --@Settlement

                      '2020-07-15', --@Maturity

                      '2010-07-23', --@Issue

                      '2011-01-15', --@First_coupon

                      0.03,         --@Rate

                      2,            --@Frequency

                      1             --@Basis

                  ) as ODDFINT;

This produces the following result.

{"columns":[{"field":"ODDFINT","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"}],"rows":[{"ODDFINT":"0.823369565217391"}]}

Calculate the accrued interest for settlement on 01-Nov-2010 from a bond with odd long first coupon given the following bond characteristics.

Maturity Date: 15-Feb-2020Issue Date: 23-Jul-2010First Coupon Date: 15-Feb-2011Annual Coupon: 2.75%Coupon Payments per year: 2Interest Basis: Actual/ Actual

SELECT wct.ODDFINT(   '2010-11-01', --@Settlement

                      '2020-02-15', --@Maturity

                      '2010-07-23', --@Issue

                      '2011-02-15', --@First_coupon

                      0.0275,       --@Rate

                      2,            --@Frequency

                      1             --@Basis

                  ) as ODDFINT;

This produces the following result.

{"columns":[{"field":"ODDFINT","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"}],"rows":[{"ODDFINT":"0.757604191688686"}]}

This is an example of a bond paying interest every 26 weeks.

SELECT wct.ODDFINT(   '2014-10-04', --@Settlement

                      '2029-12-12', --@Maturity

                      '2014-03-26', --@Issue

                      '2014-12-31', --@FirstCoupon

                      0.1250,       --@Rate

                      182,          --@Frequency

                      9             --@Basis

                  ) as ODDFINT;

This produces the following result.

{"columns":[{"field":"ODDFINT","headerClass":"ag-right-aligned-header","cellClass":"ag-right-aligned-cell"}],"rows":[{"ODDFINT":"6.59340659340659"}]}

ODDFINT

Syntax

Description

Arguments

@Basis

@Frequency

@Rate

@Issue

@First_coupon

@Settlement

@Maturity

Return Type

Remarks

Examples

See Also