Questions tagged [accrued-interest]
The accrued-interest tag has no usage guidance.
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Accrued interest need day counts, but day count conventions return year fractions [closed]
As far as I understand, the formula for accrued interest is $acc = couponInterest\cdot \frac{accruedDays}{couponDays}$.
But that fraction: $\frac{accruedDays}{couponDays}$, depends on the day count ...
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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
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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 <...
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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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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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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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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 ...
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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 ...
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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 €...
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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 ...
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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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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 ...
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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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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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