SAP 金融风控系统中，债券尾差不同计算方法分析

下文是内部分析的，用的英语。主要核心就是债券尾差计算方法只是为了提及利息计算和利息利率曲线。

As customizing help doc,  The rounding rule is a combination of factors that affect rounding in the accrued interest calculation and the calculation of yield rates.

 

I have tested in testing, the security class is BND_BIL_INV_1, , annual interest rate is 5.1111111 %.

 

Create security purchase transaction

Interest calculation method 460/360, 25 calculation days

Nominal Amount  10.00 EUR, round to 2 decimal places

Calculation without rounding rule

Accrued Interest amount

   = Nominal Amount  x (( 1 + Interest rate/100 ) ^ (Days/Base days) - 1)

 

   = 10 * (( 1 +  5.1111111 / 100) ^ (25 / 360) - 1 )

 

   = EUR 0.034677

 

Which is 0.04 by default rounding rule

 

Calculation with rounding rule CHF

The accrued Interest amount is 0.034677, as rounding cat. Is round up and rounding unit is 0.05, the amount is round up to 0.05

 

 

Calculation with JPY

The accrued Interest amount is 0.034677, as rounding cat. Is round download and rounding unit is 0.01, the amount is round up to 0.03

 

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