Questions tagged [accrued-interest]
The accrued-interest tag has no usage guidance.
22
questions
2
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1
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Does the rolling of bond payments from non-business days to the next or previous business day affect the calculation of accrued interest and YTM?
(1) Does the rolling of bond payment from non-business days to the next or previous business day affect the coupon payment and the accrued interests within the coupon period? In other words, are the <...
2
votes
1
answer
84
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How to calculate accrued interest for a reverse floater?
I was looking at an example from my lecture notes regarding a reverse floater. We have the following data (We use the Act/365 convention):
Nominal value: 1000 EUR
Maturity: 14.04.2026
Coupon: 4,5% ...
0
votes
1
answer
541
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Negative Accrued for treasury bonds?
I am looking at some spreadsheets that show the US treasury bonds have some negative accrued. Why would that be the case? Shouldn't bond accruals always be positive?
0
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0
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69
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Why do we get a higher yield when we pay the interest at the end?(bonds)
I have an example where I show that if you pay the tax at the end of the bond period, the yield after tax is higher, but I am wondering if it is possible to give an explanation as to why it is like ...
0
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0
answers
167
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Incorporate Transaction Date to Price Fixed Rate Bond using Quantlib Python
I am trying to use QuantLib Python to price a fixed rate bond, based on the following data:
Issue date is 28 September 2017 (issueDate), maturity date is 28 ...
1
vote
0
answers
292
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How to backtest with fixed-income instruments
I'm running a backtest with the 5-yr and the 30-yr treasury bills going back to 1990, both with a weighting of 25%. How do I use their daily yields to adjust the portfolio through time?
I've thought ...
1
vote
3
answers
771
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Day count methods and actual coupon payments
Assume I have a bond that pays 5% coupon anually on the last day of the year. The day count method used to calculate accrued interest over time is "days actual / 360". The day before the ...
4
votes
0
answers
735
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Accrued interest calculation for floaters linked to O/N rates (such as SOFR)
It is known that between 2021 and 2022, LIBOR rates will cease to exist. Therefore bond issuers started to link their newly issued floaters to O/N rates based on actual trades such as SOFR for USD or €...
4
votes
2
answers
1k
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Misunderstanding of 'day counts' and accrued interest
I'm totally new to the fixed income world.
My goal with this question is to gain an understanding how interest is accrued day-by-day for a particular instrument. This will obviously be done by an app ...
2
votes
0
answers
428
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Difference in utility of cap/floor and FRA
What is the difference in utility for cap/floor and FRA? To me their function looks very similar. Are they used for different objectives. One thing I know in difference is that the pay off for cap is ...
0
votes
1
answer
131
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Daily accruals - when does it accrue?
Is there a convention on when interest should be accruing? That is, does interest on a bond accrue during the business day, or does it accrue overnight? Are you able to point me in the direction of a ...
0
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1
answer
513
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Why is the number of accrued days equal to one on coupon dates for NL/365?
Accrued day should be zero on coupon dates. This is true for all day count conventions. However, I found that Bloomberg returns 1 accrued day on coupon dates only for NL/365 day count.
Bond example:
...
0
votes
2
answers
325
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Australian Treasury Bonds - Price Calculation with Accrual
In this document ASX Interest Rate Derivatives (on page 7) the Australian Commonwealth Treasury Bond (paying semi-anually) is valued as
$$ P = v^{f/d} \cdot \left(\frac{c}{2} + \frac{c}{2}\cdot\sum_{...
-1
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1
answer
159
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On the buyside, when people quote a 'price' for a plain vanilla interest rate swap, does it include accrued interest?
The valuation date falls in between coupon payment days on the swap, does the 'price' of a swap understood to include the accrued interest (interest from the previous payment date to the valuation ...
0
votes
1
answer
284
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Accrued Interest on a bond [closed]
If I were to price a bond on one of its coupon payment days, does that day's coupon payment gets added to the cashflows, if so, do we just discount that by 1 (same day)? ie, C1*df1 + C2*df2 + ... ...
3
votes
0
answers
4k
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How to Calculate Accrued Interest on a Floating Rate Note
I'm trying to manually calculate the accrued interest of a U.S. Treasury floating rate note (FRN).
I believe the formula is:
(# of days / 360) x 1,000,000 x coupon
If this formula is correct, ...
1
vote
1
answer
490
views
Day count convention Actual/Actual AFB; Factor for Date1 = 2004-02-28 and Date2 = 2008-02-28
The Actual/Actual AFB day count convention is explained on Wikipedia here. I'll condense the rules here the way I understood them.
Factor = Days(Date1,Date2)/DiY
If 29th february is in date ...
6
votes
2
answers
4k
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BUS/252 accrual - why 252?
I've recently found out about the BUS/252 accrual method used in Brazil, where, to calculate how much of the yearly accrual falls on a given period by calculating the number of business days during ...
6
votes
2
answers
13k
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What happens to accrued interest and coupon payment if coupon date is weekend?
Say a 5% bond using 30/360 convention, 2 coupons per year. Last coupon payment was on 2016-04-01. Now 2016-10-01 is weekend and the coupon is paid on 2016-10-03. Is this coupon 2.5 or slightly more ...
3
votes
2
answers
201
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How do we include inflation in our calculations? [closed]
How do we include inflation in our compound interest calculations?
E.g. if we have current principal of 1000$ and the interest rate is 3% after 10 years we have <...
3
votes
3
answers
351
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Accrued Interest in Monte Carlo simulation for CVA/DVA computation
I'm implementing the CVA/DVA for some interest rates derivatives, with the short rate following a Hull-White model (one factor). Once I have calibrated the model and I get the results with the ...
0
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0
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572
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Dirty price of US T bill
I need to calculate the dirty price of a US T bond given the below details:
Assume the coupons on a U.S. Treasury bond are paid on January 1st and July 1st.
The bond has a par of $1,000 and pays a ...