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)
Thanks so much!
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.
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.