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#1
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ACCRINT formula yields incorrect result
I applied the ACCRINT formula to a security with
maturity: 09 Feb 2010 issue: 09 Feb 2005 (adjusted to exclude coupons already paid) first interest: 09 Feb 2005 settlement: 25 Mar 2005 coupon rate: 9.25% frequency: 1 basis: 1 (ACT/ACT) the formula should yield 9.25 x (25 Mar 2005 - 09 Feb 2005) / (09 Feb 2006 - 09 Feb 2005) = 9.25 x 44 / 365 = 1.1150685 but Excel calculates it as 1.112021858 upon exploration, I found out that it takes the day count of year as 366 mistakenly. Is there a solution for this bug? |
#2
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I'm using Excel XP on a Win2k PC & I get the results you seek.
What version are you using? "Onurali_k" wrote: I applied the ACCRINT formula to a security with maturity: 09 Feb 2010 issue: 09 Feb 2005 (adjusted to exclude coupons already paid) first interest: 09 Feb 2005 settlement: 25 Mar 2005 coupon rate: 9.25% frequency: 1 basis: 1 (ACT/ACT) the formula should yield 9.25 x (25 Mar 2005 - 09 Feb 2005) / (09 Feb 2006 - 09 Feb 2005) = 9.25 x 44 / 365 = 1.1150685 but Excel calculates it as 1.112021858 upon exploration, I found out that it takes the day count of year as 366 mistakenly. Is there a solution for this bug? |
#3
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MS Excel 2000 9.0.6926 SP-3
"Duke Carey" wrote: I'm using Excel XP on a Win2k PC & I get the results you seek. What version are you using? "Onurali_k" wrote: I applied the ACCRINT formula to a security with maturity: 09 Feb 2010 issue: 09 Feb 2005 (adjusted to exclude coupons already paid) first interest: 09 Feb 2005 settlement: 25 Mar 2005 coupon rate: 9.25% frequency: 1 basis: 1 (ACT/ACT) the formula should yield 9.25 x (25 Mar 2005 - 09 Feb 2005) / (09 Feb 2006 - 09 Feb 2005) = 9.25 x 44 / 365 = 1.1150685 but Excel calculates it as 1.112021858 upon exploration, I found out that it takes the day count of year as 366 mistakenly. Is there a solution for this bug? |
#4
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Meanwhile I checked the formula in another computer running Excel 2003 SP-1
and it gives the wrong result too. "Onurali_k" wrote: MS Excel 2000 9.0.6926 SP-3 "Duke Carey" wrote: I'm using Excel XP on a Win2k PC & I get the results you seek. What version are you using? "Onurali_k" wrote: I applied the ACCRINT formula to a security with maturity: 09 Feb 2010 issue: 09 Feb 2005 (adjusted to exclude coupons already paid) first interest: 09 Feb 2005 settlement: 25 Mar 2005 coupon rate: 9.25% frequency: 1 basis: 1 (ACT/ACT) the formula should yield 9.25 x (25 Mar 2005 - 09 Feb 2005) / (09 Feb 2006 - 09 Feb 2005) = 9.25 x 44 / 365 = 1.1150685 but Excel calculates it as 1.112021858 upon exploration, I found out that it takes the day count of year as 366 mistakenly. Is there a solution for this bug? |
#5
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I just checked it on a PC with Excel 2000 and got your expected results.
Please double-check that your dates are actually 2005 dates, not 2004 dates "Onurali_k" wrote: Meanwhile I checked the formula in another computer running Excel 2003 SP-1 and it gives the wrong result too. "Onurali_k" wrote: MS Excel 2000 9.0.6926 SP-3 "Duke Carey" wrote: I'm using Excel XP on a Win2k PC & I get the results you seek. What version are you using? "Onurali_k" wrote: I applied the ACCRINT formula to a security with maturity: 09 Feb 2010 issue: 09 Feb 2005 (adjusted to exclude coupons already paid) first interest: 09 Feb 2005 settlement: 25 Mar 2005 coupon rate: 9.25% frequency: 1 basis: 1 (ACT/ACT) the formula should yield 9.25 x (25 Mar 2005 - 09 Feb 2005) / (09 Feb 2006 - 09 Feb 2005) = 9.25 x 44 / 365 = 1.1150685 but Excel calculates it as 1.112021858 upon exploration, I found out that it takes the day count of year as 366 mistakenly. Is there a solution for this bug? |
#6
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Not that careless, they are 2005 dates. Can this be a Y2K problem?
"Duke Carey" wrote: I just checked it on a PC with Excel 2000 and got your expected results. Please double-check that your dates are actually 2005 dates, not 2004 dates "Onurali_k" wrote: Meanwhile I checked the formula in another computer running Excel 2003 SP-1 and it gives the wrong result too. "Onurali_k" wrote: MS Excel 2000 9.0.6926 SP-3 "Duke Carey" wrote: I'm using Excel XP on a Win2k PC & I get the results you seek. What version are you using? "Onurali_k" wrote: I applied the ACCRINT formula to a security with maturity: 09 Feb 2010 issue: 09 Feb 2005 (adjusted to exclude coupons already paid) first interest: 09 Feb 2005 settlement: 25 Mar 2005 coupon rate: 9.25% frequency: 1 basis: 1 (ACT/ACT) the formula should yield 9.25 x (25 Mar 2005 - 09 Feb 2005) / (09 Feb 2006 - 09 Feb 2005) = 9.25 x 44 / 365 = 1.1150685 but Excel calculates it as 1.112021858 upon exploration, I found out that it takes the day count of year as 366 mistakenly. Is there a solution for this bug? |
#7
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Well, apparently I am careless. The number I got didn't match either of
yours and I cannot figure out what got factored into that result. It looked very much like your desired result, but started with 1.105 instead of 1.115 Also, I was careless in considering your question. If the bond is issued 2/9/05, the first payment will be 2/9/06 (assuming annual coupons). If you change that argument in your formula, do you get the right answer? I *think* I did. "Onurali_k" wrote: Not that careless, they are 2005 dates. Can this be a Y2K problem? "Duke Carey" wrote: I just checked it on a PC with Excel 2000 and got your expected results. Please double-check that your dates are actually 2005 dates, not 2004 dates "Onurali_k" wrote: Meanwhile I checked the formula in another computer running Excel 2003 SP-1 and it gives the wrong result too. "Onurali_k" wrote: MS Excel 2000 9.0.6926 SP-3 "Duke Carey" wrote: I'm using Excel XP on a Win2k PC & I get the results you seek. What version are you using? "Onurali_k" wrote: I applied the ACCRINT formula to a security with maturity: 09 Feb 2010 issue: 09 Feb 2005 (adjusted to exclude coupons already paid) first interest: 09 Feb 2005 settlement: 25 Mar 2005 coupon rate: 9.25% frequency: 1 basis: 1 (ACT/ACT) the formula should yield 9.25 x (25 Mar 2005 - 09 Feb 2005) / (09 Feb 2006 - 09 Feb 2005) = 9.25 x 44 / 365 = 1.1150685 but Excel calculates it as 1.112021858 upon exploration, I found out that it takes the day count of year as 366 mistakenly. Is there a solution for this bug? |
#8
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:) I was just going to post a message correct myself. Upon a not-so-related
question from a colleague, we discovered that a few minutes before I read your response, of course with your invaluable help. Most of the securities in my portfolio have bases of 30/360 and ACCRINT calculates the correct accrued coupon even if I enter the last coupon date as "first interest", therefore I applied the same wrong formula to all securities and those having ACT day bases gave incorrect results. Thank you so much... "Duke Carey" wrote: Well, apparently I am careless. The number I got didn't match either of yours and I cannot figure out what got factored into that result. It looked very much like your desired result, but started with 1.105 instead of 1.115 Also, I was careless in considering your question. If the bond is issued 2/9/05, the first payment will be 2/9/06 (assuming annual coupons). If you change that argument in your formula, do you get the right answer? I *think* I did. "Onurali_k" wrote: Not that careless, they are 2005 dates. Can this be a Y2K problem? "Duke Carey" wrote: I just checked it on a PC with Excel 2000 and got your expected results. Please double-check that your dates are actually 2005 dates, not 2004 dates "Onurali_k" wrote: Meanwhile I checked the formula in another computer running Excel 2003 SP-1 and it gives the wrong result too. "Onurali_k" wrote: MS Excel 2000 9.0.6926 SP-3 "Duke Carey" wrote: I'm using Excel XP on a Win2k PC & I get the results you seek. What version are you using? "Onurali_k" wrote: I applied the ACCRINT formula to a security with maturity: 09 Feb 2010 issue: 09 Feb 2005 (adjusted to exclude coupons already paid) first interest: 09 Feb 2005 settlement: 25 Mar 2005 coupon rate: 9.25% frequency: 1 basis: 1 (ACT/ACT) the formula should yield 9.25 x (25 Mar 2005 - 09 Feb 2005) / (09 Feb 2006 - 09 Feb 2005) = 9.25 x 44 / 365 = 1.1150685 but Excel calculates it as 1.112021858 upon exploration, I found out that it takes the day count of year as 366 mistakenly. Is there a solution for this bug? |
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