Skip to main content
7 votes
Accepted

BUS/252 accrual - why 252?

Business days are all weekdays excluding holidays under the respective settlement calendar. The "252 business days per year" rule of thumb is quite common not only in Brazil - see e.g. here. The ...
LocalVolatility's user avatar
7 votes
Accepted

What happens to accrued interest and coupon payment if coupon date is weekend?

For the vast majority of bonds, as other commenters have pointed out, coupon sizes are generally not affected by bad days (i.e., holidays and weekends), so for a bond with semi-annual coupon payments, ...
Helin's user avatar
  • 11.7k
6 votes

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?

It all depends on the individual bond/loan. Read the bond prospectus. Fixed $C\%$ per year, coupon frequency $n$, usually means exactly $C/n$ regular coupons. The daycounting convention is used if the ...
Dimitri Vulis's user avatar
5 votes

BUS/252 accrual - why 252?

The rationale for 252 business days is the following: 30 days / month; 2 non business days / week; 4.5 weeks / month, on average; 2 * 4.5 = 9 non business days / month; 30 - 9 = 21 business days / ...
fmarques's user avatar
  • 151
4 votes
Accepted

How to calculate accrued interest for a reverse floater?

For the coupon calculation, it looks essentially correct. The only caveat is that the day count convention Act/365 usually means the payment would be 139/365 times 2400, rather than 139/182 times ...
dm63's user avatar
  • 17.2k
3 votes
Accepted

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

It is possible to calculate with lagged O/N rate, shifted coupon period etc. Yes, the terms I often hear to describe these are "lookback" and "observation shift". Referring to a ...
Jonesy's user avatar
  • 46
3 votes
Accepted

Misunderstanding of 'day counts' and accrued interest

What you've calculated is essentially ACT/ACT day count basis, since you use the actual number of days between the dates and the actual number of dates in the coupon period. With a 30/360 DCC, you ...
D Stanley's user avatar
  • 1,441
2 votes
Accepted

Why is the number of accrued days equal to one on coupon dates for NL/365?

If you go to the description page of this bond it says under the calculation type: Day count is NL/365 for Shanghai or Shenzhen listed securities and ACT/ACT for all others. For Shanghai or ...
oronimbus's user avatar
  • 1,896
1 vote

Day count methods and actual coupon payments

Do you have an actual example of this ? In practice I don't think you'll find bonds that have day count conventions that give an accrual factor > 1. Most Treasury bonds across the world are quoted ...
Dom's user avatar
  • 2,167
1 vote

Misunderstanding of 'day counts' and accrued interest

This is due to day count convention, among them 30/360, Actual/360, and Actual/Actual. Convention varies by market and product, so you need to be clear on conventions used for the instrument you're ...
Chris's user avatar
  • 1,643
1 vote

Daily accruals - when does it accrue?

@noob2 While that is an easy way to look at it from a calculation perspective, is it not the case that the interest reflects the risk taken by the holder of the bond? In which case there is no risk ...
Pebbles28's user avatar
1 vote
Accepted

Australian Treasury Bonds - Price Calculation with Accrual

Adding to @Delsim answer, the formula gives the total value of all cash flows, or the dirty price of the bond. If you want the clean price you need to subtract accrued interest from the formula.
dm63's user avatar
  • 17.2k
1 vote

Australian Treasury Bonds - Price Calculation with Accrual

The factor $v^{f/d}$ multiplying the whole equation represents discounting the future bond flows over the period between the settlement date and the first coupon payment - it is not a whole period, so ...
delsim's user avatar
  • 46
1 vote

On the buyside, when people quote a 'price' for a plain vanilla interest rate swap, does it include accrued interest?

If you value an existing IRS then you value its official cashflows to their full extent, i.e. implicitly including accrued interest. When an IRS is 'torn up' (or 'bought out' or 'terminated') it is ...
Attack68's user avatar
  • 10.5k
1 vote

Accrued Interest on a bond

There is the concept of ex-div on stocks and bonds. This is short for ex-dividend (or ex-coupon). If you transact a bond or a stock on an ex-div date then, as the investor, you will not receive the ...
Attack68's user avatar
  • 10.5k
1 vote
Accepted

Day count convention Actual/Actual AFB; Factor for Date1 = 2004-02-28 and Date2 = 2008-02-28

Looking at the link to QuantLib's implementation of Act/Act AFB posted by Helin Gai in comments, this would be the part that the determines DiY (variable den): <...
TT.'s user avatar
  • 121
1 vote

What happens to accrued interest and coupon payment if coupon date is weekend?

Doing the calculation on the FINRA calculator gives an estimate - Assuming purchase date of 2016-04-01, 2016-09-30 would be a hold period of 179 days: Accrued Interest 2.486 % Value of Accrued ...
sgdata's user avatar
  • 176
1 vote

Accrued Interest in Monte Carlo simulation for CVA/DVA computation

If I understood your question correctly, what you are saying is that you are in trouble when, at a simulation date $t_i$, you need the fixing of the floating rate at a fixing date $t_f$ that is ...
byouness's user avatar
  • 2,220

Only top scored, non community-wiki answers of a minimum length are eligible