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, then in order to back into the value of $199.84 on the following screen print, we would need a rate of 1.19904%.
199.84 = (6/360) x 1,000,000 x 0.0119904
I don't see that 1.19904% rate anywhere on the screen print below. Is there some sort of interpolation taking place?
How is the accrued interest of $199.84 calculated? Thanks!