Questions tagged [accrual]

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Repo Accounting for financing accruals

I have a question on EUROZONE Bonds and in particular repo accrual and bond accrual. On a Thursday if we are Short EUROZONE bonds (which have a T+2 settlement lag) in a portfolio (and assuming no move ...
V S's user avatar
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how is accrual calculated on the floating leg of a OIS swap

for Libor swaps, the accrual for the floating leg is easy as the cashflow is known already at accrual start day. The calculation would be similar to how the accrual of a bond is calculated. How about ...
Peaceful's user avatar
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