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Act/Act for treasury note interest accruals


I will attempt to answer partially - sorry, I don't know enough about this accounting stuff to give a more comprehensive answer, but I can share some pointers that I hope will help. This is more of an accounting question, than a math/quant question. "Additional valuation adjustment" (AVA) is the difference between "fair" and "prudent&...


Lucky for us, the method you’re describing is unnecessarily complicated. M&M state that distributions have no impact on firm value, so why would it in your model? Check out Valuation Models: An Issue of Accounting Theory by Stephen Penman. In it, he shows how the Free Cashflow model is only valid insofar as it matches the Dividend Discount model via ...


If quick and simple works, the formula by Malz is quite easy to implement. If you have access to an automated data import tool, I suspect you use one of the common vendors. In this case it may be worth to ask if they have an API that pulls you the exact value based on a request for say 35DC with expiry in x days. E.g. Bloomberg would allow you to pull single ...

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