Return the interest rate for a fully invested security. Excel: INTRATE

Contents

Interface Function Documentation Page Comments

Interface

#include <codecogs/finance/banking/interestsecurity.h>

using namespace Finance::Banking;

double

interestSecurity (int sett, int mat, double investAm, double redemAm, Finance::Banking::YearBasis basis=yb_USA) Return the interest rate for a fully invested security. Excel: INTRATE

Function Documentation

Returns the interest rate for a fully invested security. The function works using the following equation: where:

• rate is the interest rate for the security,
• redemption is the amount to be received at maturity,
• investment is the amount invested in the security,
• B is the number of days in the year, depending on the year

basis,

• and DIM is the number of days from settlement to maturity.

Example 1:

#include <iostream>

#include <codecogs/units/date/date.h>
#include <codecogs/units/date/dateymd.h>
#include <codecogs/finance/banking/interestsecurity.h>

int main(int argc, char *argv[])
{
  int settDate=Units::Date::date(1999, 2, 15);
  int maturityDate=Units::Date::date(1999, 5, 15);

  double intRate=Finance::Banking::interestSecurity(settDate, maturityDate, 1000000, 1014420,
Finance::Banking::yb_Act360);
 
  int y, m, d;
  Units::Date::dateYMD(settDate, y, m, d);
  printf("settlement=%i/%i/%i\n", y, m, d);

  Units::Date::dateYMD(maturityDate, y, m, d);
  printf("maturity=%i/%i/%i\n", y, m, d);

  printf("interest rate=%f", intRate);
  return 1;
}

Output:

settlement=1999/2/15
maturity=1999/5/15
interest rate=0.058328

Julian date. This is the date after issue when the security is traded to the buyer.

Julian date. The maturity date is the date when the security expires.

Note:

The day count basis is specified using the basis parameter. This basis can be any of the following: yb_USA, yb_EU, yb_Act, yb_Act360 or yb_Act365.

Parameters:

sett	The settlement date of the security, expressed as a serial
mat	The maturity date of the security, expressed as a serial
investAm	The amount invested in the security.
redemAm	The amount to be received at maturity.
basis	The day count basis to use. See YearBasis

Returns:

The interest rate for the security.

Authors:

James Warren (August 2005)