How to get Total Accrued Interest Amount over a period

roman.wang01
roman.wang01 Newcomer
in Eikon COM

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!

Tagged:

Best Answer

  • Alex Putkov.1
    Alex Putkov.1 ✭✭✭✭✭
    Answer ✓

    @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

Answers

Categories