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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 using 30/360 or Actual/Actual so the accrual factor is always less than or equal to 1. Conventions that give accrual factors > 1 are mostly confined to ...


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For most fixed-coupon bonds in most markets, the convention is that the daycount is only used to calculate the accrued coupon in the middle of the coupon period. If the complete coupon is paid at the end of the coupon period, then this is the quoted coupon. There are exceptions to this, for example, Mexico MBONOs are fixed coupon, but if the coupon date (...


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