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a) without a frequency and T note start date how do I find the coupon dates and cash flows? b) is that calculated semi- annually? c) how do I find the number of days for the current period?



If you're trying to get the jargon right, a "note" is up to 10 years maturity, and a U.S. Treasury "bond" is longer than 10 years. But it's OK, it's not wrong to call everything "bonds".

You need to know the market conventions for US treasury securities. You have to know that if they're quoted on price, then it's clean price. They are semi-annual and have a peculiar daycount (not 30/360 like most USD corporate bonds), but the coupons paid out are not daycounted. They never have odd first or last coupon period. For each of these assumptions, it is easy to finds bonds that are not U.S. treasury and behave differently.

So you start at maturity and march backwards:

May 15, 2021 100 + 3.5/2

November 15, 2020 3.5/2

May 15, 2020 current coupon start date

Note that you are given the trade date, but the settlement date is probably T+1 (not T+2 like most securities - you need to know that US treasuries settle T+1) and you need to calculate the accrued, using the correct daycount convention for US treasuries, from the coupon start date until the settlement date. The 25th is a Friday. The next business day is Monday the 28th. The number of actual days is 136 (I think - check).

Use the calculator here http://www.tipsinc.com/ficalc/calc.tips to see the usual assumptions.

  • 1
    $\begingroup$ Also by convention holidays are ignored when calculating treasury yields but I don’t think doing so is “right” or “wrong” it just matches the quoting convention you’ll normally see. $\endgroup$ – Bond wiz Oct 5 '20 at 13:52
  • $\begingroup$ Indeed, I should have mentioned this too, thanks. The homework is on memorizing the market conventions traditionally used for US treasuries. I'm not sure how useful this is. $\endgroup$ – Dimitri Vulis Oct 5 '20 at 14:02

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