Skip to content

Computing the Accrued Interest and the Clean Price of a bond

July 17, 2012
  • days in accrued interest period = days in coupon period – days between settlement and next coupon
  • days in accrued interest period / days in coupon period = (1 – w)
  • Accrued Interest = semi-annual coupon payment * (1 – w)
  • Clean Price = full price – accrued interest
Advertisements

From → Asset Valuation

Leave a Comment

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s

%d bloggers like this: