Accr Start
Key Accr Start in Interest Fn refers to the date d₁ when the interest rate r defined in key Interest Rate starts accumulating interest on the notional defined in key Notional according to the conventions defined in key Spec until the date d, where d is the variable input date to the function here.
With the help of the optional key Whole Accr End, the accrual period may be defined to end to a non-business day that differs slightly from the date d
Note that the date d₁ must be defined here not as a date variable but rather as an object of type Schedule that contains a single date, although several dates are also supported as explained below.
Note, only the adjusted dates of the Schedule object are considered, i.e. the dates reported through that object's key _Adjusted Dates
If d ≤ d₁ the interest accumulated from d₁ to d is assumed to equal 0.
As mentioned above, the supplied Schedule object may contain more than one dates d₁, d₂ , ... , dᵤ, in which case the interest is calculated since the date dᵢ that is closest to and strictly earlier than d, if such a date exists.
If not such a date exists, the interest is assumed 0.
For example, if d = d₃, the interest is the amount accrued from d₂ to d₃
In the case of several reference dates the applicable notional, interest rate and set of conventions for each input date d is selected as described respectively at Notional, Interest Rate and Spec