# Questions tagged [accrued-interest]

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### Why is accrued interest prorated linearly?

Cashflows from coupons and principal are discounted using the YTM to get PV of the bond in dirty price. as shown here in this question Misunderstanding of 'day counts' and accrued interest ...
927 views

### Does the rolling of bond payments from non-business days to the next or previous business day affect the calculation of accrued interest and YTM?

(1) Does the rolling of bond payment from non-business days to the next or previous business day affect the coupon payment and the accrued interests within the coupon period? In other words, are the <...
90 views

### How to calculate accrued interest for a reverse floater?

I was looking at an example from my lecture notes regarding a reverse floater. We have the following data (We use the Act/365 convention): Nominal value: 1000 EUR Maturity: 14.04.2026 Coupon: 4,5% ...
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787 views

### Negative Accrued for treasury bonds?

I am looking at some spreadsheets that show the US treasury bonds have some negative accrued. Why would that be the case? Shouldn't bond accruals always be positive?
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### Why do we get a higher yield when we pay the interest at the end?(bonds)

I have an example where I show that if you pay the tax at the end of the bond period, the yield after tax is higher, but I am wondering if it is possible to give an explanation as to why it is like ...
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222 views

### Incorporate Transaction Date to Price Fixed Rate Bond using Quantlib Python

I am trying to use QuantLib Python to price a fixed rate bond, based on the following data: Issue date is 28 September 2017 (issueDate), maturity date is 28 ...
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1 vote
336 views

### How to backtest with fixed-income instruments

I'm running a backtest with the 5-yr and the 30-yr treasury bills going back to 1990, both with a weighting of 25%. How do I use their daily yields to adjust the portfolio through time? I've thought ...
1 vote
934 views

### Day count methods and actual coupon payments

Assume I have a bond that pays 5% coupon anually on the last day of the year. The day count method used to calculate accrued interest over time is "days actual / 360". The day before the ...
• 11
841 views

### Accrued interest calculation for floaters linked to O/N rates (such as SOFR)

It is known that between 2021 and 2022, LIBOR rates will cease to exist. Therefore bond issuers started to link their newly issued floaters to O/N rates based on actual trades such as SOFR for USD or €...
2k views

### Misunderstanding of 'day counts' and accrued interest

I'm totally new to the fixed income world. My goal with this question is to gain an understanding how interest is accrued day-by-day for a particular instrument. This will obviously be done by an app ...
461 views

### Difference in utility of cap/floor and FRA

What is the difference in utility for cap/floor and FRA? To me their function looks very similar. Are they used for different objectives. One thing I know in difference is that the pay off for cap is ...
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139 views

### Daily accruals - when does it accrue?

Is there a convention on when interest should be accruing? That is, does interest on a bond accrue during the business day, or does it accrue overnight? Are you able to point me in the direction of a ...
529 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: ...
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365 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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181 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 ...
310 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 + ... ...
4k 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, ...
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1 vote
530 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 ...
• 121
4k 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 ...
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