An accrued or range note is a financial instrument whose payments are linked to an index within a certain range. Within the range, payments are made at a certain rate; outside, at another rate. The range may vary over time. The interest payments are accrued on each business day.

To be more precise, divide the financial year into Freq. periods. Within each period, define:

I = ( Number of days index is within range / Total number of days ) * Inside Rate

O = ( Number of days index is outside range / Total number of days ) * Outside Rate

Notional Amount * ( I + O + Index * Leverage ) / Freq.

Interest Rate