# 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, 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!

• USTR has example calculations for FRNs treasurydirect.gov/instit/statreg/auctreg/auctreg_frncalex.htm Not sure if they address your question. – noob2 Nov 3 '17 at 19:53
• High level floating rate notes are priced by a rate determined at the beginning of the fixing period. Then you just need to know how many days you are into that period to price the accrued. – phubaba Nov 7 '17 at 3:30
• Is it possible to use an Excel function [e.g. PRICE()] to solve for the price of an FRN? – equanimity Nov 8 '17 at 13:03