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Questions tagged [accrued-interest]

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1answer
112 views

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
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2answers
47 views

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_{...
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1answer
107 views

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
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1answer
91 views

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
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0answers
1k views

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
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1answer
128 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 ...
4
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2answers
897 views

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 ...
3
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2answers
77 views

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
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3answers
263 views

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 ...
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0answers
360 views

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 ...