INT_RATE_SEC Function

Evaluates the interest rate of a fully invested security.

Usage

result = INT_RATE_SEC(settlement, maturity, investment, redemption, basis)

Input Parameters

settlement—The date on which payment is made to settle a trade. For a more detailed discussion on dates see Chapter 8, Working with Date/Time Data in the PV‑WAVE User Guide.

maturity—The date on which the bond comes due, and principal and accrued interest are paid. For a more detailed discussion on dates see Chapter 8, Working with Date/Time Data in the PV‑WAVE User Guide.

investment—The total amount one has invested in the security.

redemption—Amount to be received at maturity.

basis—The method for computing the number of days between two dates. It should be 0, 1, 2, 3, or 4.

0—Actual/Actual

1—US (NASD) 30/360

2—Actual/360

3—Actual/365

4—European 30/360

Returned Value

result—The interest rate for a fully invested security. If no result can be computed, NaN is returned.

Input Keywords

Double—If present and nonzero, double precision is used.

Discussion

Function INT_RATE_SEC computes the interest rate for a fully invested security.

It is computed using the following:

 

In the equation above, B represents the number of days in a year based on the annual basis, and DSM represents the number of days in the period starting with the settlement date and ending with the maturity date.

Example

In this example, INT_RATE_SEC computes the interest rate of a $7,000 investment with the settlement date of July 1, 1995, and maturity date of July 1, 2005, using the Actual/365 day count method. The total amount received at the end of the investment is $10,000.

settlement = VAR_TO_DT(1995, 7, 1)

maturity = VAR_TO_DT(2005, 7, 1)

investment = 7000.

redemption = 10000.

basis = 3

PRINT, INT_RATE_SEC(settlement, maturity, investment, $

   redemption, basis)

; PV-WAVE prints: 0.0428219