How to get Total Accrued Interest Amount over a period

Hi there,

I'm trying to compute the P/L value of a portfolio. I would need the "total accrued amount" for a fixed income security over a specific period.

For example, XS1700429480 (ISIN) has paid accrued interest of $0.00325 over the period of Apr 1 to May 11, 2021. Is there a way to fetch this number?

The formula I'm using now is: (but it's not correct)

=TR("XS1700429480","sum(TR.FiAccruedInterest)","SDate=1/4/2021 EDate=11/5/2021","CODE=ISIN")

Thanks so much!

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Accepted answers

Alex Putkov.1

@roman.wang01

There's no single function in Eikon that can return the number you're looking for. In order to calculate this number you need to generate bond cashflows (all coupon payments) between two dates, calculate accrued at the start and end dates and sum it all up.

Attached is an example spreadsheet.

BondReturnFromCoupon.zip

All comments

Alex Putkov.1

@roman.wang01

Attached is an example spreadsheet.

BondReturnFromCoupon.zip

roman.wang01

Hi Alex, thanks for your reply! Can I check what is this "=BdCashFlows" function? The data don't show up on my end...I see all "#NAME?" instead!

I am using Refinitiv Eikon's excel add-in (please see attached).

Alex Putkov.1

@roman.wang01

To enable BdCashflows and other Adfin functions click on Settings under Refinitiv Eikon tab in Excel ribbon. In the Settings window click on Memory Optimization. Under Memory Optimization make sure that the module named Adfin is on.

roman.wang01

Thanks again for your reply! I do not have the Memory Optimization tab under my refinitiv settings. Is this something to do with my licence type, or the version of my refinitiv? I tried googling but can't really find an answer :-/

waglon

Accrued Interest formula calculates the interest amount which is earned or which is payable on the debt over one accounting period but the same is not received or paid in the same accounting period and it is calculated by multiplying the principal amount with rate of interest and number of days for which debt is given or taken and then dividing it with total number of days in a year.

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