The “dirty price” of a bond is the price including accrued interest.
Date configuration
By default, ACCRINT will calculate accrued interest from theissuedate.
If the settlement date is in the first period, this works.
The default is TRUE, which returns the total accrued interest from issue date to settlement date.
Setting calculation method to FALSE is supposed to return accrued interest fromfirst_interestto settlementdate.
However, I was unable to produce this behavior.
In the example below,issuedate andfirst_interestdate are set to the previous coupon date (as described above).
Theissue date is 5-Apr-2018, the settlement date is 1-Feb-2019, and the last coupon date is 15-Oct-2018.
We want accrued interest from October 15, 2018 to February 1, 2019.
Entering dates
In Excel,dates are serial numbers.
To enter valid dates directly inside a function, you could use theDATE function.
To illustrate, the formula below has all values hardcoded.
The ACCRINT function allows 5 options (0-4) and defaults to zero, which specifies US 30/360 basis.
Thisarticle on wikipediaprovides a detailed explanation of available conventions.
